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A Copula Approach to Credit Valuation Adjustment for Swaps Under Wrong-Way Risk
, 2018This paper deals with the credit valuation adjustment (CVA) of interest rate swap (IRS) contracts in the presence of an adverse dependence between the default time and interest rates: so-called wrong-way risk (WWR).
Jakub Černý, J. Witzany
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From credit valuation adjustments to credit capital commitments
Quantitative Finance, 2012We argue that capital requirements are needed to cover unexpected losses arising in incomplete markets. After observing that a complete market is an inappropriate context for answering such questions we turn to a theory of capital requirements developed for an incomplete markets economy where the law of one price is replaced by the law of two prices ...
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, 2016
We study the impact of wrong-way-risk (WWR) on credit valuation adjustment (CVA) for European and Bermudan options, based on an intensity model. WWR is modeled by a dependency between the underlying asset and the intensity of the counterparty’s default ...
Qian Feng, C. Oosterlee
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We study the impact of wrong-way-risk (WWR) on credit valuation adjustment (CVA) for European and Bermudan options, based on an intensity model. WWR is modeled by a dependency between the underlying asset and the intensity of the counterparty’s default ...
Qian Feng, C. Oosterlee
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Credit Valuation Adjustment (CVA) Introduction
2020Credit valuation adjustment (CVA) is the market price of counterparty credit risk that has become a central part of counterparty credit risk management. By definition, CVA is the difference between the risk-free portfolio value and the true/risky portfolio value. In practice, CVA should be computed at portfolio level. That means calculation should take
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The Credit Valuation Adjustment of an Interest Rate Swap Step-by-Step (Static Formulation)
, 2016Counterparty credit risk (CCR) is a fundamental issue in the modern financial markets. CCR attempts to capture the impact of the potential losses due to the default (e.g. bankruptcy) of the counterparty in a financial operation.
Alonso Peña
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Bankss Discretion Over the Debt Valuation Adjustment for Own Credit Risk
SSRN Electronic Journal, 2016During our 2007 to 2015 sample period, firms recorded unrealized gains and losses on fair-valued liabilities attributable to changes in the firms’ own credit risk, referred to as the debt valuation adjustment (DVA), in earnings. Various parties criticized the inclusion of DVA in earnings as counterintuitive and manipulable.
Minyue Dong +2 more
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Credit Valuation Adjustment of Credit Default Swaps by Lévy Structural Models [PDF]
, 2018 This 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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, 2015
We discuss several methodologies for stabilizing the diffusion of compounding instruments modeled by means of lognormal instantaneous interest rate models.
Cyril Durand
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We discuss several methodologies for stabilizing the diffusion of compounding instruments modeled by means of lognormal instantaneous interest rate models.
Cyril Durand
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An Integrated Approach to Credit Valuation Adjustment
Social Science Research Network, 2023David Lee
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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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