Results 11 to 20 of about 838 (122)
Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under\n Collateralization [PDF]
Quantitative Finance, 2015 arXiv admin note: text overlap with arXiv:1304 ...
Giacomo Bormetti +3 more
+8 more sources
Bilateral Credit Valuation Adjustment of an Optional Early Termination Clause [PDF]
SSRN Electronic Journal, 2012 Is an option to early terminate a swap at its market value worth zero? At first sight it is, but in presence of counterparty risk it depends on the criteria used to determine such market value. In case of a single uncollateralised swap transaction under ISDA between two defaultable counterparties, the additional unilateral option to early terminate the
Lorenzo Giada, Claudio Nordio
+7 more sources
Credit, funding, margin, and capital valuation adjustments for bilateral portfolios [PDF]
Probability, Uncertainty and Quantitative Risk, 2017 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Claudio Albanese +2 more
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From Credit Valuation Adjustments to Credit Capital Commitments
Quantitative Finance, 2012 We 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 ...
Dilip B. Madan
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Advanced Estimation of Credit Valuation Adjustment
, 2017 Numerical ...
Qibo Feng
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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. We examine this issue using interest rate swaps.
Qian Liu
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Credit Valuation Adjustment (CVA) Introduction
, 2020 Credit 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
Tim Xiao
+4 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 present value of buying a default protection on counterparty exposure through CDS.
Wujiang Lou
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Wrong-way risk in credit and funding valuation adjustments [PDF]
, 2012 2 figures ...
Mihail Turlakov
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Pricing Model and Credit Valuation Adjustment
, 2020 This article presents a generic model for pricing derivatives subject to counterparty credit risk. We study various cases: one-way and two-way, single payment and multiple payments, positive and negative payoffs. Our theory shows that the valuation of defaultable derivatives in most situations requires a backward induction procedure.
Tim Xiao
openalex +3 more sources