Bilateral counterparty risk with application to CDSs

In the valuation arena, bilateral features are relevant for counterparty risk and can often be responsible for seemingly paradoxical statements. For example, Citigroup, in its press release on its first-quarter 2009 revenues, reported a positive mark-to-market due to its worsened credit quality: “Revenues also included... a net $2.5 billion positive credit valuation adjustment (CVA) on derivative positions, excluding monolines, mainly due to the widening of Citi’s credit default swap (CDS)

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

If you already have an account, please sign in here.

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 individual account here