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Numerical results bilateral CVA of a CDS As with unilateral CVA, Brigo experiments with the effects of credit risk level λi (0) and credit risk volatility νi and correlation in the now three names. For convenience, we use the following triple to summarise the correlation matrix of the trivariate copula, (ρ01 , ρ02 , ρ12 ). We have ρ01 the correlation between investor and reference credit, ρ02 between investor and counterparty and ρ12 reference credit and counterparty. Brigo tests the responses of BCVA under the following scenario.

They argue that the additional term in bilateral CVA over unilateral CVA is not a ”default benefit moral hazard” but part of the fair value leading to fair value marking-to-market. 29 Chapter 4 Credit Default Swap (CDS) In this section we formally introduce CDS contracts and their payoff. A single name Credit Default Swap (CDS) is an insurance contract on the default of a single reference credit between a protection buyer (investor) and a protection seller (counterparty). In contemporary CDS contracts neither the protection seller nor protection buyer are obliged to have investments in the underlying reference credit.

These are connected by the bivariate copula C0,1 . 2 and Appendix B). As with unilateral CVA he then simulates the bilateral CVA of CDS under different volatility and correlation regimes using Monte Carlo simulation. Numerical results bilateral CVA of a CDS As with unilateral CVA, Brigo experiments with the effects of credit risk level λi (0) and credit risk volatility νi and correlation in the now three names. For convenience, we use the following triple to summarise the correlation matrix of the trivariate copula, (ρ01 , ρ02 , ρ12 ).

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