This paper presents a new model for pricing OTC derivatives subject to collateralization. It
allows for collateral posting adhering to bankruptcy laws. As such, the model can back out …

This article presents a new framework for valuing hybrid defaultable financial instruments,
for example, convertible bonds. In contrast to previous studies, the model relies on the …

General wrong way risk (WWR) estimation is necessary for regulatory CVA capital and
useful for pricing CVA and FVA. We introduce a model independent method for calculating …

We present a model for CVA calculation in which the recovery rate is inferred from the term
structure of CDS spreads. The negative relation between recovery rates and default …

This paper presents an analytical model for valuing interest rate swaps, subject to bilateral
counterparty credit risk. The counterparty defaults are modeled by the reduced-form model …

This paper presents an analytical model for valuing interest rate swaps, subject to bilateral
counterparty credit risk. The counterparty defaults are modeled by the reduced-form model …

This article presents a generic model for pricing financial derivatives subject to counterparty
credit risk. Both unilateral and bilateral types of credit risks are considered. Our study shows …

This article presents a generic model for pricing financial derivatives subject to counterparty
credit risk. Both unilateral and bilateral types of credit risks are considered. Our study shows …

This article presents a generic model for pricing financial derivatives subject to counterparty
credit risk. Both unilateral and bilateral types of credit risks are considered. Our study shows …

This paper argues that the reduced-form jump diffusion model may not be appropriate for
credit risk modeling. To correctly value hybrid defaultable financial instruments, eg …