Results 1 to 10 of about 111,357 (244)
Counterparty credit risk and derivatives pricing
Journal of Financial Economics, 2019 We derive a model with qualitative implications for options pricing under counterparty credit risk and provide empirical evidence using the data from the Hong Kong derivatives market during 2005–2014.
Gang Li, Chu Zhang
semanticscholar +5 more sources
Double-Layer Network Model of Bank-Enterprise Counterparty Credit Risk Contagion
Complexity, 2020 Banks and enterprises constitute a multilayered, multiattribute, multicriteria credit-related super network due to financial transaction behaviors, such as credit, wealth management, savings, and derivatives.
Tingqiang Chen +3 more
doaj +2 more sources
Risk Factor Evolution for Counterparty Credit Risk under a Hidden Markov Model
Risks, 2019 One of the key components of counterparty credit risk (CCR) measurement is generating scenarios for the evolution of the underlying risk factors, such as interest and exchange rates, equity and commodity prices, and credit spreads.
Ioannis Anagnostou, Drona Kandhai
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Managing Counterparty Credit Risk Via BSDEs [PDF]
SSRN Electronic Journal, 2016 We discuss a general dynamic replication approach to counterparty credit risk modeling. This leads to a fundamental jump-process backward stochastic differential equation (BSDE) for the credit risk adjusted portfolio value. We then reduce the fundamental
Andrew Lesniewski, A. Richter
semanticscholar +4 more sources
Counterparty credit limits: An effective tool for mitigating counterparty risk? [PDF]
SSRN Electronic Journal, 2017 A counterparty credit limit (CCL) is a limit imposed by a financial institution to cap its maximum possible exposure to a specified counterparty. Although CCLs are designed to help institutions mitigate counterparty risk by selective diversification of ...
M. Gould +3 more
semanticscholar +6 more sources
A Gentle Introduction to Default Risk and Counterparty Credit Modelling [PDF]
, 2016 In this paper we introduce the reader to the basic tools for the computation of Counterparty Credit Risk such as Credit Value Adjustment and Debt Value Adjustment. We also present the effect of mitigating clauses, like netting and collateral, in reducing
L. Ballotta, Gianluca Fusai, M. Marena
semanticscholar +3 more sources
Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk [PDF]
Journal of Computational and Applied Mathematics, 2022 The goal of this work is to develop deep learning numerical methods for solving option XVA pricing problems given by non-linear PDE models. A novel strategy for the treatment of the boundary conditions is proposed, which allows to get rid of the ...
Joel P. Villarino +2 more
semanticscholar +1 more source
Annals of Operations Research, 2023 The recently introduced deep parametric PDE method combines the efficiency of deep learning for high-dimensional problems with the reliability of classical PDE models. The accuracy of the deep parametric PDE method is determined by the best-approximation
K. Glau, Linus Wunderlich
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RESTRUCTURING COUNTERPARTY CREDIT RISK [PDF]
International Journal of Theoretical and Applied Finance, 2011 We introduce an innovative theoretical framework for the valuation and replication of derivative transactions between defaultable entities based on the principle of arbitrage freedom. Our framework extends the traditional formulations based on credit and debit valuation adjustments (CVA and DVA).
Albanese, Claudio +2 more
openaire +9 more sources
Deep xVA Solver – A Neural Network Based Counterparty Credit Risk Management Framework [PDF]
Social Science Research Network, 2020 In this paper, we present a novel computational framework for portfolio-wide risk management problems, where the presence of a potentially large number of risk factors makes traditional numerical techniques ineffective.
Alessandro Gnoatto +2 more
semanticscholar +1 more source