摘要翻译：
我们分析了双边交易对手风险调整的实际后果。我们指出，过去的文献假设，在第一次违约的时刻，将使用一个无风险的清算金额。我们认为，法律(ISDA)文件在许多方面建议应该使用替代关闭。这将考虑到幸存方违约的风险。我们展示了当考虑替代平仓金额时，双边交易对手风险调整是如何发生强烈变化的。我们对违约独立性和共单调性这两种极端情况进行了建模，突出了无风险和替代结束公式的利弊，并允许我们将结果解释为对违约传染的戏剧性后果。最后，我们分析了抵押物存在时的情况。
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英文标题：
《Dangers of Bilateral Counterparty Risk: the fundamental impact of
  closeout conventions》
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作者：
Damiano Brigo, Massimo Morini
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最新提交年份：
2010
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
  We analyze the practical consequences of the bilateral counterparty risk adjustment. We point out that past literature assumes that, at the moment of the first default, a risk-free closeout amount will be used. We argue that the legal (ISDA) documentation suggests in many points that a substitution closeout should be used. This would take into account the risk of default of the survived party. We show how the bilateral counterparty risk adjustment changes strongly when a substitution closeout amount is considered. We model the two extreme cases of default independence and co-monotonicity, which highlight pros and cons of both risk free and substitution closeout formulations, and allow us to interpret the outcomes as dramatic consequences on default contagion. Finally, we analyze the situation when collateral is present.
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PDF链接：
https://arxiv.org/pdf/1011.3355