Daniele Perini

Mediobanca

Piazzetta Enrico Cuccia, 1

Milano, MI 20121

Italy

SCHOLARLY PAPERS

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Scholarly Papers (2)

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1.

Funding Valuation Adjustment: A Consistent Framework Including CVA, DVA, Collateral, Netting Rules and Re-Hypothecation

Number of pages: 23 Posted: 07 Dec 2011
Andrea Pallavicini, Daniele Perini and Damiano Brigo
Banca IMI, Mediobanca and Imperial College London - Department of Mathematics
Downloads 1,193 (16,786)
Citation 46

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funding cost, cost of funding, bilateral counterparty risk, credit valuation adjustment, debt valuation adjustment, collateral modeling, margining cost, close-out, re-hypothecation, default correlation

2.

Funding, Collateral and Hedging: Uncovering the Mechanics and the Subtleties of Funding Valuation Adjustments

Number of pages: 38 Posted: 14 Oct 2012 Last Revised: 12 Dec 2012
Andrea Pallavicini, Daniele Perini and Damiano Brigo
Banca IMI, Mediobanca and Imperial College London - Department of Mathematics
Downloads 847 (27,722)
Citation 36

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Funding Cost, Cost of Funding, Bilateral Counterparty Risk, Credit Valuation Adjustment, Debit Valuation Adjustment, Collateral Modeling, Margining Cost, Close-Out, Re-hypothecation, Default Correlation, Gap Risk, Central Counterparty