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Credit Derivatives

Technical paper

Bilateral counterparty risk with application to CDSs

Author: Damiano Brigo and Agostino Capponi

Source: Risk magazine | 05 Mar 2010

Categories: Credit Derivatives

Topics: Lehman Brothers, Royal Dutch Shell, British Airways, Bilateral netting, Credit spreads, Counterparty credit risk, Credit default swaps (CDSs), Default risk

In the valuation arena, bilateral features are relevant for counterparty risk and can often be responsible for seemingly paradoxical statements. For example,...

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Bilateral counterparty risk with application to CDSs

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