Results 71 to 80 of about 107,244 (261)
Pricing Vulnerable European Options under Lévy Process with Stochastic Volatility
Discrete Dynamics in Nature and Society, 2018 This paper considers the pricing issue of vulnerable European option when the dynamics of the underlying asset value and counterparty’s asset value follow two correlated exponential Lévy processes with stochastic volatility, and the stochastic volatility
Chaoqun Ma, Shengjie Yue, Yishuai Ren
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Counterparty Credit Risk Management in Industrial Corporates [PDF]
SSRN Electronic Journal, 2011 Ever since the financial crisis of the banking system of 2008 - 2010 the paradigm that deposits or other exposures towards major banks are safe has been fundamentally questioned. This put industrial corporates, who to support their business usually need to manage significant cash holdings or incur counterparty credit risk via derivatives, in the ...
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Pricing Credit Default Swaps Under Default Correlations and Counterparty Risk [PDF]
In this paper, we develop a generalized affine model to characterize correlated credit risk of multi-firms. When valuing credit derivatives, this new approach allows to incorporate correlative market and credit risk, interdependent default risk structure
Damir Filipovic, Li Chen
core
Frontiers in Applied Mathematics and Statistics, 2019 Monte Carlo methods have become a staple use in risk departments of many financial institutions as these methods are relatively fast to compute even at higher dimensions and provide risk metrics such as percentile values.
Dominic Cortis
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Unilateral CVA for CDS in Contagion model: With volatilities and correlation of spread and interest [PDF]
The price of financial derivative with unilateral counterparty credit risk can be expressed as the price of an otherwise risk-free derivative minus a credit value adjustment(CVA) component that can be seen as shorting a call option, which is exercised ...
Bao, Qunfang +3 more
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Deep xVA Solver: A Neural Network-Based Counterparty Credit Risk Management Framework
SIAM Journal on Financial Mathematics, 2023 Alessandro Gnoatto +2 more
semanticscholar +1 more source
Credit Valuation Adjustment Compression by Genetic Optimization
Risks, 2019 Since the 2008−2009 financial crisis, banks have introduced a family of X-valuation adjustments (XVAs) to quantify the cost of counterparty risk and of its capital and funding implications.
Marc Chataigner, Stéphane Crépey
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Discrete Dynamics in Nature and Society, 2020 This paper is dedicated to building a multilayer financial network within banking sectors and firm sectors (nonbanking) on the balance sheet of two types of agents and to assessing systemic risk contagion in the reconstructed network.
Yuetang (Peter) Bian, Yu Wang, Lu Xu
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Modeling Path Dependent Counterparty Credit Risk [PDF]
SSRN Electronic Journal, 2015 Path dependent counterparty credit risk exposure modeling poses challenges. In this paper, we discuss practical models for consistent and accurate estimation of counterparty credit exposure involving path-dependent derivatives. We derive analytical formulas for standalone expected exposure (EE), potential future exposure (PFE) and unilateral CVA for ...
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Counterparty credit risk management in industrial corporates [PDF]
Ever since the financial crisis of the banking system of 2008 - 2010 the paradigm that deposits or other exposures towards major banks are safe has been fundamentally questioned.
Langkamp, Christian
core +1 more source