Bilateral CVA of optional early termination clauses

Bilateral CVA of optional early termination clauses


Click here for a pdf of the technical article

The impact of close-out conventions consistent with International Swaps and Derivatives Association master agreements for derivative contracts, especially their effect on counterparty credit risk adjustment, has been studied in Brigo & Morini (2011) and Brigo, Buescu & Morini (2011). The choice between the so-called risk-free and substitution close-out values can have a large effect on pricing, through their role in additional termination events.


To continue reading...

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: