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Measure distorted arrival rate risks and their rewards
Credit, funding, margin, and capital valuation adjustments for bilateral portfolios
1 IMEX, London, UK; |
2 CASS School of Business, London, UK; |
3 LaMME, Univ Evry, CNRS, Université Paris-Saclay, 91037, Evry, France |
References:
[1] |
Albanese, C, Andersen, L:Accounting for OTC derivatives:Funding adjustments and the re-hypothecation option (2014). ssrn:2482955 |
[2] |
Albanese, C, Andersen, L, Iabichino, S:FVA:Accounting and risk management (2015). Risk Magazine, February 64-68 |
[3] |
Albanese, C, Bellaj, T, Gimonet, G:Pietronero G:Coherent global market simulations and securitization measures for counterparty credit risk. Quant Finance. 11(1), 1-20 (2011) |
[4] |
Albanese, C, Brigo, D, Oertel, F:Restructuring counterparty credit risk. Int. J. Theor. Appl. Finance. 16(2), 1350010 (29 pages) (2013) |
[5] |
Albanese, C, Crépey, S:XVA analysis from the balance sheet (2017). Working paper available at https://math.maths.univ-evry.fr/crepey. Accessed 7 June 2017 |
[6] |
Andersen, L, Duffie, D, Song, Y:Funding value adjustments (2016). ssrn.2746010 |
[7] |
Armenti, Y, Crépey, S:Central clearing valuation adjustment. SIAM J. Financial Math. 8, 274-313(2017a) |
[8] |
Armenti, Y, Crépey, S:XVA Metrics for CCP optimisation (2017b). Working paper available at https://math.maths.univ-evry.fr/crepey. Accessed 13 June 2017 |
[9] |
Bichuch, M, Capponi, A, Sturm, S:Arbitrage-free XVA. Mathematical Finance (2016). Forthcoming(preprint version available at ssrn.2820257) |
[10] |
Bielecki, T, Rutkowski, M:Credit risk modelling:Intensity based approach. In:Jouini, E, Cvitanic, J, Musiela, M (eds.) Handbook in Mathematical Finance:Option Pricing, Interest Rates and Risk Management, pp. 399-457. Cambridge University Press, Cambridge (2001) |
[11] |
Bielecki, T, Rutkowski, M:Credit Risk:Modeling, Valuation and Hedging. Springer Finance, Berlin(2002) |
[12] |
Bielecki, TR, Rutkowski, M:Valuation and hedging of contracts with funding costs and collateralization.SIAM J. Financial Math. 6, 594-655 (2015) |
[13] |
Brigo, D, Capponi, A:Bilateral counterparty risk with application to CDSs (2008). arXiv:0812.3705, short version published later in 2010 in Risk Magazine Brigo, D, Pallavicini, A:Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks. J. Financial Eng. 1, 1-60 (2014) |
[14] |
Burgard, C, Kjaer, M:Funding Strategies, Funding Costs. Risk Magazine, December, 82-87 (2013) |
[15] |
Collin-Dufresne, P, Goldstein, R, Hugonnier, J:A general formula for valuing defaultable securities.Econometrica. 72(5), 1377-1407 (2004) |
[16] |
Crépey, S:Bilateral counterparty risk under funding constraints. Part I:Pricing, followed by Part II:CVA. Math. Finance. 25(1), 1-50 (2015). First published online on 12 December 2012 |
[17] |
Crépey, S, Élie, R, Sabbagh, W:When capital is a funding source:The XVA Anticipated BSDEs (2017). Working paper available at https://math.maths.univ-evry.fr/crepey |
[18] |
Crépey, S, Song, S:Counterparty risk and funding:Immersion and beyond. Finance Stochast. 20(4), 901-930 (2016) |
[19] |
Duffie, D, Huang, M:Swap rates and credit quality. J. Finance. 51, 921-950 (1996) |
[20] |
Duffie, D, Schroder, M, Skiadas, C:Recursive valuation of defaultable securities and the timing of resolution of uncertainty. Ann. Appl. Probab. 6(4), 1075-1090 (1996) |
[21] |
Kruse, T, Popier, A:BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration. Stochastics:Int. J. Probab. Stochast. Process. 88(4), 491-539 (2016) |
[22] |
Piterbarg, V:Funding beyond discounting:collateral agreements and derivatives pricing. Risk Mag. 2, 97-102 (2010) |
[23] |
Pykhtin, M:Model foundations of the Basel III standardised CVA charge. Risk Magazine (2012) |
show all references
References:
[1] |
Albanese, C, Andersen, L:Accounting for OTC derivatives:Funding adjustments and the re-hypothecation option (2014). ssrn:2482955 |
[2] |
Albanese, C, Andersen, L, Iabichino, S:FVA:Accounting and risk management (2015). Risk Magazine, February 64-68 |
[3] |
Albanese, C, Bellaj, T, Gimonet, G:Pietronero G:Coherent global market simulations and securitization measures for counterparty credit risk. Quant Finance. 11(1), 1-20 (2011) |
[4] |
Albanese, C, Brigo, D, Oertel, F:Restructuring counterparty credit risk. Int. J. Theor. Appl. Finance. 16(2), 1350010 (29 pages) (2013) |
[5] |
Albanese, C, Crépey, S:XVA analysis from the balance sheet (2017). Working paper available at https://math.maths.univ-evry.fr/crepey. Accessed 7 June 2017 |
[6] |
Andersen, L, Duffie, D, Song, Y:Funding value adjustments (2016). ssrn.2746010 |
[7] |
Armenti, Y, Crépey, S:Central clearing valuation adjustment. SIAM J. Financial Math. 8, 274-313(2017a) |
[8] |
Armenti, Y, Crépey, S:XVA Metrics for CCP optimisation (2017b). Working paper available at https://math.maths.univ-evry.fr/crepey. Accessed 13 June 2017 |
[9] |
Bichuch, M, Capponi, A, Sturm, S:Arbitrage-free XVA. Mathematical Finance (2016). Forthcoming(preprint version available at ssrn.2820257) |
[10] |
Bielecki, T, Rutkowski, M:Credit risk modelling:Intensity based approach. In:Jouini, E, Cvitanic, J, Musiela, M (eds.) Handbook in Mathematical Finance:Option Pricing, Interest Rates and Risk Management, pp. 399-457. Cambridge University Press, Cambridge (2001) |
[11] |
Bielecki, T, Rutkowski, M:Credit Risk:Modeling, Valuation and Hedging. Springer Finance, Berlin(2002) |
[12] |
Bielecki, TR, Rutkowski, M:Valuation and hedging of contracts with funding costs and collateralization.SIAM J. Financial Math. 6, 594-655 (2015) |
[13] |
Brigo, D, Capponi, A:Bilateral counterparty risk with application to CDSs (2008). arXiv:0812.3705, short version published later in 2010 in Risk Magazine Brigo, D, Pallavicini, A:Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks. J. Financial Eng. 1, 1-60 (2014) |
[14] |
Burgard, C, Kjaer, M:Funding Strategies, Funding Costs. Risk Magazine, December, 82-87 (2013) |
[15] |
Collin-Dufresne, P, Goldstein, R, Hugonnier, J:A general formula for valuing defaultable securities.Econometrica. 72(5), 1377-1407 (2004) |
[16] |
Crépey, S:Bilateral counterparty risk under funding constraints. Part I:Pricing, followed by Part II:CVA. Math. Finance. 25(1), 1-50 (2015). First published online on 12 December 2012 |
[17] |
Crépey, S, Élie, R, Sabbagh, W:When capital is a funding source:The XVA Anticipated BSDEs (2017). Working paper available at https://math.maths.univ-evry.fr/crepey |
[18] |
Crépey, S, Song, S:Counterparty risk and funding:Immersion and beyond. Finance Stochast. 20(4), 901-930 (2016) |
[19] |
Duffie, D, Huang, M:Swap rates and credit quality. J. Finance. 51, 921-950 (1996) |
[20] |
Duffie, D, Schroder, M, Skiadas, C:Recursive valuation of defaultable securities and the timing of resolution of uncertainty. Ann. Appl. Probab. 6(4), 1075-1090 (1996) |
[21] |
Kruse, T, Popier, A:BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration. Stochastics:Int. J. Probab. Stochast. Process. 88(4), 491-539 (2016) |
[22] |
Piterbarg, V:Funding beyond discounting:collateral agreements and derivatives pricing. Risk Mag. 2, 97-102 (2010) |
[23] |
Pykhtin, M:Model foundations of the Basel III standardised CVA charge. Risk Magazine (2012) |
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