Results 11 to 20 of about 101,575 (247)
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
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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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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 Černý, Jiří Witzany
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Credit Valuation Adjustment in Credit Risk with Simultaneous Defaults Possibility [PDF]
, 2020 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
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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
Credit Valuation Adjustment von Zinsswaps mit Collateral
, 2017 A company operating in a complex business may face several risks, one of them being the financial risk. The Financial Risk rises from several factors such as Market Risk, Credit Risk, Liquidity Risk and Operational Risk. Whereas all of these risks have had an influence on the contracts between market participants, much of the research was concentrated ...
Silvia Doko
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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
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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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Advanced Estimation of Credit Valuation Adjustment
, 2017 Numerical ...
Qibo Feng
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A computational approach to hedging Credit Valuation Adjustment in a jump-diffusion setting [PDF]
Applied Mathematics and Computation, 2021 This study contributes to understanding Valuation Adjustments (xVA) by focussing on the dynamic hedging of Credit Valuation Adjustment (CVA), corresponding Profit & Loss (P&L) and the P&L explain. This is done in a Monte Carlo simulation setting, based on a theoretical hedging framework discussed in existing literature.
T. van der Zwaard +2 more
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