Results 11 to 20 of about 121,966 (252)
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.
Irena Barjavsi'c +2 more
semanticscholar +3 more sources
Credit Valuation Adjustment Wrong-Way Risk in a Gaussian Copula Model
Journal of Credit Risk, 2019 The credit valuation adjustment (CVA) is currently calculated in financial institutions to measure counterparty credit risk (CCR) on over-the-counter derivatives. A key factor in CVA is wrong-way risk (WWR): the correlation between counterparty exposures
Kelin Pan, Chandra Khandrika
semanticscholar +5 more sources
Counterparty Risk: Credit Valuation Adjustment Variability and Value-At-Risk
Journal of Risk, 2019 The third installment of the Basel Accords advocates a capital charge against credit valuation adjustment (CVA) variability. We propose an efficient numerical approach that allows us to compute risk measures for the CVA process by assessing the ...
Michèle Breton, Oussama Marzouk
semanticscholar +5 more sources
Advanced Estimation of Credit Valuation Adjustment
, 2017 Numerical ...
Qibo Feng
semanticscholar +6 more sources
Credit valuation adjustment [PDF]
, 2016 This thesis is intended to give an overview of Credit Valuation Adjustment (CVA) techniques and adjacent concepts. Firstly, the historical events that preceded the initiative to reform the Basel regulations and to introduce CVA are summarized ...
Sousa, Bruno Filipe Soares dos Santos
core +6 more sources
An Analytical Expression for Credit Valuation Adjustment Pricing with Wrong-Way Risk [PDF]
Economics, 2021 Recently, financial institutions were required to provide the financial derivatives instrument level credit valuation adjustment (CVA) by the new accounting standard.
Kelin Pan, Chandra Khandrika
semanticscholar +2 more sources
Jumping with Default: Wrong-Way-Risk Modeling for Credit Valuation Adjustment [PDF]
SSRN Electronic Journal, 2015 We investigate credit value adjustments (CVAs) in the presence of wrong-way risk (WWR) by introducing jumps at default to model correlation between counterparty's default and relevant risk factors. We focus on the foreign-exchange and interest-rate cases, presenting efficient CVA approximations based on CVA computation under independence assumption ...
Minqiang Li, Fabio Mercurio
semanticscholar +3 more sources
Credit Valuation Adjustment in Credit Risk with Simultaneous Defaults Possibility [PDF]
, 2022 In a series of recent papers, Damiano Brigo, Andrea Pallavicini, and co-authors have shown that the value of a contract in a Credit Valuation Adjustment (CVA) setting, being the sum of the cash flows, can be represented as a solution of a decoupled forward-backward stochastic differential equation (FBSDE).
Aditi Dandapani, Philip Protter
openalex +3 more sources
Bilateral Credit Valuation Adjustment for Large Credit Derivatives Portfolios [PDF]
Finance and Stochastics, 2022 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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Impact of Multiple-Curve Dynamics in Credit Valuation Adjustments [PDF]
, 2016 We present a detailed analysis of interest rate derivatives valuation under credit risk and collateral modeling. We show how the credit and collateral extended valuation framework in Pallavicini et al. (2011) can be helpful in defining the key market rates underlying the multiple interest rate curves that characterize current interest rate markets.
Giacomo Bormetti +3 more
openalex +5 more sources