BRIGO, DAMIANO; BUESCU, CRISTIN; MORINI, MASSIMO - In: International Journal of Theoretical and Applied … 15 (2012) 06, pp. 1250039-1
In the absence of a universally accepted procedure for the credit valuation adjustment (CVA) calculation, we compare a number of different bilateral counterparty valuation adjustment (BVA) formulas. First we investigate the impact of the choice of the closeout convention used in the formulas....
