{"record_type":"pith_number_record","schema_url":"https://pith.science/schemas/pith-number/v1.json","pith_number":"pith:2011:6NPVREQNQS742X7PMMZ7GF3NXR","short_pith_number":"pith:6NPVREQN","schema_version":"1.0","canonical_sha256":"f35f58920d84bfcd5fef6333f3176dbc488f2e212e16fe340b856a8c9c65a4a4","source":{"kind":"arxiv","id":"1106.3496","version":1},"attestation_state":"computed","paper":{"title":"Impact of the first to default time on Bilateral CVA","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.RM"],"primary_cat":"q-fin.PR","authors_text":"Cristin Buescu, Damiano Brigo, Massimo Morini","submitted_at":"2011-06-17T14:26:52Z","abstract_excerpt":"We compare two different bilateral counterparty valuation adjustment (BVA) formulas. The first formula is an approximation and is based on subtracting the two unilateral Credit Valuation Adjustment (CVA)'s formulas as seen from the two different parties in the transaction. This formula is only a simplified representation of bilateral risk and ignores that upon the first default closeout proceedings are ignited. As such, it involves double counting. We compare this formula with the fully specified bilateral risk formula, where the first to default time is taken into account. The latter correct "},"verification_status":{"content_addressed":true,"pith_receipt":true,"author_attested":false,"weak_author_claims":0,"strong_author_claims":0,"externally_anchored":false,"storage_verified":false,"citation_signatures":0,"replication_records":0,"graph_snapshot":true,"references_resolved":false,"formal_links_present":false},"canonical_record":{"source":{"id":"1106.3496","kind":"arxiv","version":1},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PR","submitted_at":"2011-06-17T14:26:52Z","cross_cats_sorted":["q-fin.RM"],"title_canon_sha256":"36442be737a352e7eeaad1a85e6d2b696d25611eb6ff968b9f25416e756da8ad","abstract_canon_sha256":"ca863966d17b17fec221d94d5e85f1385f8fc635d052d4722d6faaace3723144"},"schema_version":"1.0"},"receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-05-18T04:19:52.638649Z","signature_b64":"lqKDIxqqhoRJLYexN4Iem3hmISQKNY8lA22TDykXxtuepIxtyCMpaHTEBWluc8/WRjAL5p1yOQt996fxRz+oAw==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"f35f58920d84bfcd5fef6333f3176dbc488f2e212e16fe340b856a8c9c65a4a4","last_reissued_at":"2026-05-18T04:19:52.638094Z","signature_status":"signed_v1","first_computed_at":"2026-05-18T04:19:52.638094Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"graph_snapshot":{"paper":{"title":"Impact of the first to default time on Bilateral CVA","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.RM"],"primary_cat":"q-fin.PR","authors_text":"Cristin Buescu, Damiano Brigo, Massimo Morini","submitted_at":"2011-06-17T14:26:52Z","abstract_excerpt":"We compare two different bilateral counterparty valuation adjustment (BVA) formulas. The first formula is an approximation and is based on subtracting the two unilateral Credit Valuation Adjustment (CVA)'s formulas as seen from the two different parties in the transaction. This formula is only a simplified representation of bilateral risk and ignores that upon the first default closeout proceedings are ignited. As such, it involves double counting. We compare this formula with the fully specified bilateral risk formula, where the first to default time is taken into account. The latter correct "},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1106.3496","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"},"aliases":[{"alias_kind":"arxiv","alias_value":"1106.3496","created_at":"2026-05-18T04:19:52.638192+00:00"},{"alias_kind":"arxiv_version","alias_value":"1106.3496v1","created_at":"2026-05-18T04:19:52.638192+00:00"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1106.3496","created_at":"2026-05-18T04:19:52.638192+00:00"},{"alias_kind":"pith_short_12","alias_value":"6NPVREQNQS74","created_at":"2026-05-18T12:26:22.705136+00:00"},{"alias_kind":"pith_short_16","alias_value":"6NPVREQNQS742X7P","created_at":"2026-05-18T12:26:22.705136+00:00"},{"alias_kind":"pith_short_8","alias_value":"6NPVREQN","created_at":"2026-05-18T12:26:22.705136+00:00"}],"events":[],"event_summary":{},"paper_claims":[],"inbound_citations":{"count":0,"internal_anchor_count":0,"sample":[]},"formal_canon":{"evidence_count":0,"sample":[],"anchors":[]},"links":{"html":"https://pith.science/pith/6NPVREQNQS742X7PMMZ7GF3NXR","json":"https://pith.science/pith/6NPVREQNQS742X7PMMZ7GF3NXR.json","graph_json":"https://pith.science/api/pith-number/6NPVREQNQS742X7PMMZ7GF3NXR/graph.json","events_json":"https://pith.science/api/pith-number/6NPVREQNQS742X7PMMZ7GF3NXR/events.json","paper":"https://pith.science/paper/6NPVREQN"},"agent_actions":{"view_html":"https://pith.science/pith/6NPVREQNQS742X7PMMZ7GF3NXR","download_json":"https://pith.science/pith/6NPVREQNQS742X7PMMZ7GF3NXR.json","view_paper":"https://pith.science/paper/6NPVREQN","resolve_alias":"https://pith.science/api/pith-number/resolve?arxiv=1106.3496&json=true","fetch_graph":"https://pith.science/api/pith-number/6NPVREQNQS742X7PMMZ7GF3NXR/graph.json","fetch_events":"https://pith.science/api/pith-number/6NPVREQNQS742X7PMMZ7GF3NXR/events.json","actions":{"anchor_timestamp":"https://pith.science/pith/6NPVREQNQS742X7PMMZ7GF3NXR/action/timestamp_anchor","attest_storage":"https://pith.science/pith/6NPVREQNQS742X7PMMZ7GF3NXR/action/storage_attestation","attest_author":"https://pith.science/pith/6NPVREQNQS742X7PMMZ7GF3NXR/action/author_attestation","sign_citation":"https://pith.science/pith/6NPVREQNQS742X7PMMZ7GF3NXR/action/citation_signature","submit_replication":"https://pith.science/pith/6NPVREQNQS742X7PMMZ7GF3NXR/action/replication_record"}},"created_at":"2026-05-18T04:19:52.638192+00:00","updated_at":"2026-05-18T04:19:52.638192+00:00"}