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Impact of the first to default time on Bilateral CVA
Credit Valuation Adjustment Unilateral CVA Bilateral CVA Simplified Bilateral CVA Debit Valuation Adjustment Closeout Equity Forward Contract
2011/7/4
We compare two different bilateral counterparty valuation adjustment (BVA) formulas.
The first formula is an approximation and is based on subtracting the two unilateral
Credit Valuation Adjustment ...
BSDEs with random default time and their applications to default risk
Backward stochastic differential equation Random default time Comparison theorem Zero-sum stochastic differential game
2010/11/2
In this paper we are concerned with backward stochastic differential equations with random default time and their applications to default risk.The equations are driven by Brownian motion as well as a ...