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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 ParisSaclay, 91037, Evry, France 
References:
[1] 
Albanese, C, Andersen, L:Accounting for OTC derivatives:Funding adjustments and the rehypothecation option (2014). ssrn:2482955, 
[2] 
Albanese, C, Andersen, L, Iabichino, S:FVA:Accounting and risk management (2015). Risk Magazine, February 6468, 
[3] 
Albanese, C, Bellaj, T, Gimonet, G:Pietronero G:Coherent global market simulations and securitization measures for counterparty credit risk. Quant Finance. 11(1), 120 (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.univevry.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, 274313(2017a), 
[8] 
Armenti, Y, Crépey, S:XVA Metrics for CCP optimisation (2017b). Working paper available at https://math.maths.univevry.fr/crepey. Accessed 13 June 2017, 
[9] 
Bichuch, M, Capponi, A, Sturm, S:Arbitragefree 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. 399457. 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, 594655 (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 wrongway risks. J. Financial Eng. 1, 160 (2014), 
[14] 
Burgard, C, Kjaer, M:Funding Strategies, Funding Costs. Risk Magazine, December, 8287 (2013), 
[15] 
CollinDufresne, P, Goldstein, R, Hugonnier, J:A general formula for valuing defaultable securities.Econometrica. 72(5), 13771407 (2004), 
[16] 
Crépey, S:Bilateral counterparty risk under funding constraints. Part I:Pricing, followed by Part II:CVA. Math. Finance. 25(1), 150 (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.univevry.fr/crepey, 
[18] 
Crépey, S, Song, S:Counterparty risk and funding:Immersion and beyond. Finance Stochast. 20(4), 901930 (2016), 
[19] 
Duffie, D, Huang, M:Swap rates and credit quality. J. Finance. 51, 921950 (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), 10751090 (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), 491539 (2016), 
[22] 
Piterbarg, V:Funding beyond discounting:collateral agreements and derivatives pricing. Risk Mag. 2, 97102 (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 rehypothecation option (2014). ssrn:2482955, 
[2] 
Albanese, C, Andersen, L, Iabichino, S:FVA:Accounting and risk management (2015). Risk Magazine, February 6468, 
[3] 
Albanese, C, Bellaj, T, Gimonet, G:Pietronero G:Coherent global market simulations and securitization measures for counterparty credit risk. Quant Finance. 11(1), 120 (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.univevry.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, 274313(2017a), 
[8] 
Armenti, Y, Crépey, S:XVA Metrics for CCP optimisation (2017b). Working paper available at https://math.maths.univevry.fr/crepey. Accessed 13 June 2017, 
[9] 
Bichuch, M, Capponi, A, Sturm, S:Arbitragefree 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. 399457. 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, 594655 (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 wrongway risks. J. Financial Eng. 1, 160 (2014), 
[14] 
Burgard, C, Kjaer, M:Funding Strategies, Funding Costs. Risk Magazine, December, 8287 (2013), 
[15] 
CollinDufresne, P, Goldstein, R, Hugonnier, J:A general formula for valuing defaultable securities.Econometrica. 72(5), 13771407 (2004), 
[16] 
Crépey, S:Bilateral counterparty risk under funding constraints. Part I:Pricing, followed by Part II:CVA. Math. Finance. 25(1), 150 (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.univevry.fr/crepey, 
[18] 
Crépey, S, Song, S:Counterparty risk and funding:Immersion and beyond. Finance Stochast. 20(4), 901930 (2016), 
[19] 
Duffie, D, Huang, M:Swap rates and credit quality. J. Finance. 51, 921950 (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), 10751090 (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), 491539 (2016), 
[22] 
Piterbarg, V:Funding beyond discounting:collateral agreements and derivatives pricing. Risk Mag. 2, 97102 (2010), 
[23] 
Pykhtin, M:Model foundations of the Basel III standardised CVA charge. Risk Magazine (2012), 
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