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2015/1 (Vol.36)

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We present a multivariate version of a structural default model with jumps and use it in order to quantify the bilateral credit value adjustment and the bilateral debt value adjustment for equity contracts, such as forwards, in a Merton-type default setting. In particular, we explore the impact of changing correlation between names on these adjustments and study the effect of wrong-way and right-way risk.

To cite this article

Laura Ballotta, Gianluca Fusai, “ Counterparty credit risk in a multivariate structural model with jumps ”, Finance 1/2015 (Vol.36) , p. 39-74
URL : www.cairn.info/revue-finance-2015-1-page-39.htm.

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