Results 1 to 10 of about 101,575 (247)
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
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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 +5 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
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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 providing a more accurate estimate of the Mark-to-market value of a financial claim.
Chaofan Sun, Ken Seng Tan, Wei Wei
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Bilateral Credit Valuation Adjustment for Large Credit Derivatives Portfolios [PDF]
Finance and Stochastics, 2013 We obtain an explicit formula for the bilateral counterparty valuation adjustment of a credit default swaps portfolio referencing an asymptotically large number of entities. We perform the analysis under a doubly stochastic intensity framework, allowing for default correlation through a common jump process.
Lijun Bo, Agostino Capponi
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Leveraging Bayesian Quadrature for Accurate and Fast Credit Valuation Adjustment Calculations [PDF]
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
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Credit Valuation Adjustment Study
, 2019 This paper presents a model for calculating credit value adjustment (CVA) by taking wrong way risk into account. Many people believe that the cash flows of a defaultable financial contract can be priced independently and then be summed up to give the final risky price of the contract. We emphasize here that this conclusion is only true of the financial
Tim Xiao
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Credit Valuation Adjustment Model
, 2019 Credit valuation adjustment (CVA) has become the first line of defense and the central part of counterparty risk management. This paper presents a new framework for calculating credit value adjustment. The model can easily incorporate various credit mitigation techniques, such as netting agreements and margin agreements, and can capture wrong/right way
Tim Xiao
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Credit Valuation Adjustment in Financial Networks [PDF]
SSRN Electronic Journal, 2023 Credit Valuation Adjustment captures the difference in the value of derivative contracts when the counterparty default probability is taken into account. However, in the context of a network of contracts, the default probability of a direct counterparty can depend substantially on the default probabilities of indirect counterparties. We develop a model
Irena Barjašić +2 more
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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. This paper presents an analytical model for valuing derivatives subject to default by both counterparties. The default-free interest rates are
Tim Xiao
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