Results 11 to 20 of about 117,882 (162)
A computational approach to hedging Credit Valuation Adjustment in a jump-diffusion setting [PDF]
Applied Mathematics and Computation, 2020 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
semanticscholar +6 more sources
Interest Rate Swap Credit Valuation Adjustment [PDF]
SSRN Electronic Journal, 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
semanticscholar +7 more sources
COMPUTING CREDIT VALUATION ADJUSTMENT FOR BERMUDAN OPTIONS WITH WRONG WAY RISK [PDF]
International Journal of Theoretical and Applied Finance, 2017 We study the impact of wrong way risk (WWR) on credit valuation adjustment (CVA) for Bermudan options. WWR is modeled by a dependency between the underlying asset and the intensity of the counterparty’s default. Two WWR models are proposed, based on a deterministic function and a CIR-jump (CIRJ) model, respectively.
Qian Feng, Cornelis W. Oosterlee
semanticscholar +8 more sources
Computing Credit Valuation Adjustment solving coupled PIDEs in the Bates model [PDF]
Computational Management Science, 2018 Credit value adjustment (CVA) is the charge applied by financial institutions to the counterparty to cover the risk of losses on a counterpart default event. In this paper we estimate such a premium under the Bates stochastic model (Bates [4]), which considers an underlying affected by both stochastic volatility and random jumps.
Ludovic Goudenège +2 more
semanticscholar +8 more sources
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
semanticscholar +4 more sources
Credit Valuation Adjustment Study [PDF]
, 2019 This paper presents a model for calculating credit value adjustment (CVA) by taking wrong way risk into account. Many people believe that the cash flows of a defaultable financial contract can be priced independently and then be summed up to give the final risky price of the contract. We emphasize here that this conclusion is only true of the financial
Tim Xiao
+6 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
+9 more sources
The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment [PDF]
SSRN Electronic Journal, 2019 This article presents a generic model for pricing financial derivatives subject to counterparty credit risk. Both unilateral and bilateral types of credit risks are considered. Our study shows that credit risk should be modeled as American style options in most cases, which require a backward induction valuation.
Tim Xiao
+17 more sources
Wrong-way risk in credit and funding valuation adjustments [PDF]
, 2012 2 figures ...
Mihail Turlakov
openalex +4 more sources
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