The wipe-out of the Credit Swiss AT1 bonds reminded us of the importance to accurately reflect legal conditions into pay-off functions, especially in the complex case of credit risk modelling. Such a task becomes even more intricate in the case of Counterparty Credit Risk pricing for OTC contracts. In this brief presentation non-linear close-out functions and their implications in XVA pricing are discussed.

Catalin is leading the XVA/CCR quants team in Risk Model Development at ING. He joined the bank in 2016 after completion of his PhD in Quantitative Finance.