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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
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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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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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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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Basel IV implementation: a review of the case of the European Union [PDF]
Journal of Capital Markets Studies, 2020 Purpose – Introducing radical changes to the methodologies for the determination of capital requirements, the final stage of the Basel III standards, which is referred to as “Basel IV” by the industry, will be a significant challenge for the global ...
Mete Feridun, Alper Özün
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Interest Rate Swap Credit Valuation Adjustment [PDF]
The Journal of Derivatives, 2015 The credit valuation adjustment (CVA) of OTC derivatives is an important part of the Basel III credit risk capital requirements and current accounting rules. Its calculation is not an easy task—not only is it necessary to model the future value of the derivative, but also the probability of the default of a counterparty.
Jakub Cerny, Jiri Witzany
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Credit Valuation Adjustment in Financial Networks
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
Barjašić, Irena +2 more
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A primer on counterparty valuation adjustments in South Africa
South African Journal of Economic and Management Sciences, 2014 Counterparty valuation adjustment (CVA) risk accounts for losses due to the deterioration in credit quality of derivative counterparties with large credit spreads.
Gary Wayne van Vuuren +1 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.
Sun, Chaofan, Tan, Ken Seng, Wei, Wei
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Modelling Counterparty Credit Risk in Czech Interest Rate Swaps
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2017 According to the Basel Committee’s estimate, three quarters of counterparty credit risk losses during the financial crisis in 2008 originate from credit valuation adjustment’s losses and not from actual defaults.
Lenka Křivánková, Silvie Zlatošová
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