A practical guide to counterparty risk management and credit value adjustment from a
leading credit practitioner Please note that this second edition of Counterparty Credit Risk …

In this paper we describe a methodology for deriving the upper and lower profit and loss
(P&L) bounds in the presence of counterparty risk that does not rely on either structural or …

This paper explores a reasonable coupon rate for basket credit linked notes (BCLN) with
issuer default risk. Based on the one factor Gaussian copula model, this paper proposes …

We propose a fairly general framework which allows one to perform Credit Value Adjustment
(CVA) computations for a contract with bilateral counterparty risk in the presence of (a) …

There are many unresolved issues in the modeling and calibration of credit risky instruments
that directly affect pricing and risk management: from the modeling of the determinants of …

This review provides formal definitions of the terms credit value adjustment (CVA) and debt
value adjustment (DVA). Estimating these quantities requires modeling the probabilities of …

This thesis intends to lay down some foundations for valuing contracts or portfolios of
contracts under counterparty risk and in the presence of netting agreements. Suitable …

This paper addresses several aspects of Credit Default Swaps (CDSs). In the first chapter
we provide a survey of the CDS market and develop a discussion on various aspects …

A basket default swap (BDS) is a commonly traded instrument for the hedging and
investment of a credit portfolio. Because of the fluctuation of the global financial …

We depart from the usual methods for pricing contracts with the counterparty credit risk found
in most of the existing literature. In effect, typically, these models do not account for either …