Credit Valuation Adjustment Compression by Genetic Optimization [PDF]
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
doaj +6 more sources
Interactions of Logistic Distribution to Credit Valuation Adjustment: A Study on the Associated Expected Exposure and the Conditional Value at Risk [PDF]
Mathematics, 2022 In Basel III, the credit valuation adjustment (CVA) was given, and it was discussed that a bank covers mark-to-market losses for expected counterparty risk with a CVA capital charge. The purpose of this study is threefold. Using the logistic distribution,
Yanlai Song +3 more
doaj +3 more sources
Leveraging Bayesian Quadrature for Accurate and Fast Credit Valuation Adjustment Calculations
MathematicsCounterparty risk, which combines market and credit risks, gained prominence after the 2008 financial crisis due to its complexity and systemic implications.
Noureddine Lehdili +2 more
doaj +4 more sources
Quantum algorithm for credit valuation adjustments
New Journal of Physics, 2022 Quantum mechanics is well known to accelerate statistical sampling processes over classical techniques. In quantitative finance, statistical samplings arise broadly in many use cases.
Javier Alcazar +6 more
doaj +4 more sources
Credit Valuation Adjustment with Replacement Closeout: Theory and Algorithms [PDF]
SSRN Electronic Journal, 2022 The replacement closeout convention has drawn more and more attention since the 2008 financial crisis. Compared with the conventional risk-free closeout, the replacement closeout convention incorporates the creditworthiness of the counterparty and thus ...
Chaofan Sun, Ken Seng Tan, Wei Wei
semanticscholar +5 more sources
Bilateral Defaultable Financial Derivatives Pricing and Credit Valuation Adjustment [PDF]
SSRN Electronic Journal, 2019 The one-side defaultable financial derivatives valuation problems have been studied extensively, but the valuation of bilateral derivatives with asymmetric credit qualities is still lacking convincing mechanism.
Tim Xiao
semanticscholar +11 more sources
An Accurate Solution for Credit Valuation Adjustment (CVA) and Wrong Way Risk [PDF]
SSRN Electronic Journal, 2019 This paper presents a Least Square Monte Carlo approach for accurately calculating credit value adjustment (CVA). In contrast to previous studies, the model relies on the probability distribution of a default time/jump rather than the default time itself,
Tim Xiao
semanticscholar +16 more sources
A computational approach to hedging Credit Valuation Adjustment in a jump-diffusion setting [PDF]
Applied Mathematics and Computation, 2020 This study contributes to understanding Valuation Adjustments (xVA) by focussing on the dynamic hedging of Credit Valuation Adjustment (CVA), corresponding Profit & Loss (P&L) and the P&L explain. This is done in a Monte Carlo simulation setting, based on a theoretical hedging framework discussed in existing literature.
T. van der Zwaard +2 more
semanticscholar +8 more sources
Cash CVA -- Credit Valuation Adjustment in the Cash Form
SSRN Electronic Journal, 2021 Credit default swaps (CDS) are unfunded, or the synthetic form of credit exposure, while bonds are fully funded, thus the cash form. Borrowing this industry jargon, credit valuation adjustment (CVA) would be seen synthetic, because it is defined as the ...
Wujiang Lou
semanticscholar +4 more sources
Calculation of Credit Valuation Adjustment Based on Least Square Monte Carlo Methods [PDF]
Mathematical Problems in Engineering, 2015 Counterparty credit risk has become one of the highest-profile risks facing participants in the financial markets. Despite this, relatively little is known about how counterparty credit risk is actually priced mathematically.
Qian Liu
semanticscholar +4 more sources