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Bilateral counterparty risk valuation for interest-rate products: impact of volatilities and correlations
Counterparty Risk Arbitrage-Free Credit Valuation Adjustment Interest Swaps Interest Rate Derivatives
2010/11/2
The purpose of this paper is introducing rigorous methods and formulas for bilateral counterparty risk credit valuation adjustments (CVA's) on interest-rate portfolios. In
doing so, we summarize the ...
Dangers of Bilateral Counterparty Risk: the fundamental impact of closeout conventions
Bilateral Counterparty Risk the fundamental impact
2010/12/13
We analyze the practical consequences of the bilateral counterparty risk adjustment. We point out that past literature assumes that, at the moment of the first default, a risk-free closeout amount wil...