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Credit Valuation Adjustment (CVA)
SSRN Electronic Journal, 2008This paper provides an overview of counterparty default risk and counter-party valuation adjustments, within the context of collateralized and un-collateralized trading relationships. The counterparty valuation adjustment terms are derived by decomposing an un-defaultable portfolio into a set of binary states.
Shahram Alavian +3 more
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EXTREMAL DEPENDENCE FOR BILATERAL CREDIT VALUATION ADJUSTMENTS
International Journal of Theoretical and Applied Finance, 2016Recognizing counterparty default risk as integral part of the valuation process of financial derivatives has changed the classical view on option pricing. Calculating the bilateral credit valuation adjustment (BCVA) including wrong way risk (WWR) requires a sound model for the dependence structure between three quantities: the default times of the two ...
Scherer, Matthias, Schulz, Thorsten
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2018
The derivative positions are subject to changes due to market volatility which changes the exposure to counterparty risk and the credit quality of the counterparty. Against this background, banks should keep aside additional capital, known as credit valuation adjustments (CVAs) capital charge, which stands for the difference between the risk-free and ...
Ioannis Akkizidis, Lampros Kalyvas
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The derivative positions are subject to changes due to market volatility which changes the exposure to counterparty risk and the credit quality of the counterparty. Against this background, banks should keep aside additional capital, known as credit valuation adjustments (CVAs) capital charge, which stands for the difference between the risk-free and ...
Ioannis Akkizidis, Lampros Kalyvas
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Credit valuation adjustment and wrong way risk
Quantitative Finance Letters, 2013We propose a copula function approach to evaluate credit valuation adjustment (CVA) under the assumption of wrong way risk, that is, dependence between the underlying asset and the default risk of the counter party. The model is applied to interest rate swap contracts that represent a huge share of the worldwide over-the-counter derivatives market. The
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Overnight index swap and integrated credit valuation adjustment discounting
Journal of Securities Operations & Custody, 2013A new generation of interest rate modelling based on dual curve pricing and integrated credit valuation adjustment (CVA) is evolving. This new framework requires a rethink of derivative modelling from first principles and presents significant challenges for existing valuation, risk management and margining systems.
Rohan Douglas, Dmitry Pugachevsky
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Credit Valuation Adjustment of Credit Default Swaps by Lévy Structural Models
2018This thesis seeks to extend mathematical models for default based on first passage times that were found to be insufficient in the Global Financial Crisis.
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A method for pricing the credit valuation adjustment of unlisted companies
Journal of Risk Management in Financial Institutions, 2019Estimating the credit valuation adjustment (CVA) for unlisted companies is a challenging issue because it is not possible to estimate the risk neutral default probability from either the credit default swap (CDS) par spread or equity stock. This paper proposes a calibration method that easily estimates the market risk premium, which is added to the ...
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Bilateral Credit Valuation Adjustment of CDS Under Systemic and Correlated Idiosyncratic Risks
Frontiers of MathematicszbMATH Open Web Interface contents unavailable due to conflicting licenses.
Cai, Xiaorong, Lin, Feng, Yang, Jingping
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Fast and stable second-order credit sensitivities of credit valuation adjustment
International Journal of Financial EngineeringCredit Valuation Adjustment is a balance sheet item which is nowadays subject to active risk management by specialized traders. However, the most important risk factors, which are the default intensities of the counterparties, affect in a nondifferentiable way the most general Monte Carlo estimator of the adjustment, through simulation of default ...
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Evaluating credit valuation adjustment with wrong-way risk for Bermudan options
Journal of Computational Finance, 2023Bing Dong, Wei Xu, Guangguang Wang
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