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Collateralized CVA Valuation with Rating Triggers and Credit Migrations
counterparty risk credit valuation adjustment CVA OTC contracts break clauses additional termination events
2012/6/5
In this paper we discuss the issue of computation of the bilateral credit valuation adjustment (CVA) under rating triggers, and in presence of ratings-linked margin agreements. Specifically, we consid...
Bilateral Credit Valuation Adjustment of an Optional Early Termination Clause
Counterparty risk Credit Valuation Adjustment Unilateral CVA Bilateral CVA Debit Valuation Adjustment Closeout ISDA
2012/6/4
Is an option to early terminate a swap at its market value worth zero? At first sight it is, but in presence of counterparty risk it depends on the criteria used to determine such market value. In cas...