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- W2953155652 abstract "We obtain an explicit formula for the bilateral counterparty valuation adjustment of a credit default swaps portfolio referencing an asymptotically large number of entities. We perform the analysis under a doubly stochastic intensity framework, allowing for default correlation through a common jump process. The key insight behind our approach is an explicit characterization of the portfolio exposure as the weak limit of measure-valued processes associated to survival indicators of portfolio names. We validate our theoretical predictions by means of a numerical analysis, showing that counterparty adjustments are highly sensitive to portfolio credit risk volatility as well as to default correlation." @default.
- W2953155652 created "2019-06-27" @default.
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- W2953155652 date "2013-05-23" @default.
- W2953155652 modified "2023-09-23" @default.
- W2953155652 title "Bilateral Credit Valuation Adjustment for Large Credit Derivatives Portfolios" @default.
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