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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
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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...
Collective firm bankruptcies and phase transition in rating dynamics
Collective firm bankruptcies rating dynamics
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2010/11/1
We present a simple model of firm rating evolution. We consider two sources of defaults: individual dynamics of economic development and Potts-like interactions between firms. We show that such a defi...