Lorenzo Giada

Banca Carige

Genoa

Italy

SCHOLARLY PAPERS

4

DOWNLOADS

533

CITATIONS

0

Scholarly Papers (4)

1.

Funded Bilateral Valuation Adjustment

Number of pages: 10 Posted: 09 Nov 2012
Lorenzo Giada and Claudio Nordio
Banca Carige and Banco Popolare
Downloads 199 (122,104)

Abstract:

counterparty risk, credit valuation adjustment, funding valuation adjustment, bilateral valuation adjustment, debit valuation adjustment, CVA, FVA, DVA, Basel III, restructuring counterparty risk, ISDA, CSA, one way CSA

2.

Bilateral Credit Valuation Adjustment of an Optional Early Termination Clause

Number of pages: 10 Posted: 09 May 2012 Last Revised: 23 Jan 2013
Lorenzo Giada and Claudio Nordio
Banca Carige and Banco Popolare
Downloads 145 (150,633)

Abstract:

Counterparty risk, Credit Valuation Adjustment, Unilateral CVA, Bilateral CVA, Debit Valuation Adjustment, Closeout, ISDA, Bermudan option, Equity Forward Contract, Break clause, Optional Early Termination clause, Additional Early Termination clause, Gumbel bivariate exponential distributions

3.

A Note on Replicating a CDS Through a Repo and an Asset Swap

Number of pages: 6 Posted: 02 May 2013
Lorenzo Giada and Claudio Nordio
Banca Carige and Banco Popolare
Downloads 60 (239,214)

Abstract:

Credit Default Swap, Repurchase agreement, Structured Repo, Term repo, Repo to maturity, Asset swap, Early termination, Break clause, Close-out amount, Credit Valuation Adjustment, Debit Valuation Adjustment, CVA, DVA

4.

Hedging the 'One-Way CSA' Counterparty Risk in a CDO

Number of pages: 8 Posted: 28 Oct 2013
Lorenzo Giada and Claudio Nordio
Banca Carige and Banco Popolare
Downloads 48 (300,795)

Abstract: