In the first part we consider a dynamical model for the number of defaults of a pool of names. The model is based on the notion of generalized Poisson process, allowing for more than one default in small time intervals, contrary to many alternative approaches to loss modeling. We illustrate how...

This paper generalizes the framework for arbitrage-free valuation of bilateral counterparty risk to the case where collateral is included, with possible re-hypotecation. We analyze how the payout of claims is modified when collateral margining is included in agreement with current ISDA...

In this paper we describe how to include funding and margining costs into a risk-neutral pricing framework for counter-party credit risk. We consider realistic settings and we include in our models the common market practices suggested by the ISDA documentation without assuming restrictive...