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A three-dimensional extension of the structural default model with firms'values driven by correlated diffusion processes is presented. Green's functionbased semi-analytical methods for solving the forward calibration problem andbackward pricing problem are developed. These methods are used to analyzebilateral counterparty risk for credit default swaps and evaluate thecorresponding credit and debt value adjustments. It is shown that in manyrealistic cases these value adjustments can be surprisingly large.

Pricing credit default swaps with bilateral value adjustments