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.
van der Zwaard, T. +2 more
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Leveraging Bayesian Quadrature for Accurate and Fast Credit Valuation Adjustment Calculations
MathematicsCounterparty risk, which combines market and credit risks, gained prominence after the 2008 financial crisis due to its complexity and systemic implications.
Noureddine Lehdili +2 more
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Quantifying Correlation Uncertainty Risk in Credit Derivatives Pricing
International Journal of Financial Studies, 2018 We propose a simple but practical methodology for the quantification of correlation risk in the context of credit derivatives pricing and credit valuation adjustment (CVA), where the correlation between rates and credit is often uncertain or unmodelled ...
Colin Turfus
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Efficient Option Pricing under Levy Processes, with CVA and FVA
Frontiers in Applied Mathematics and Statistics, 2015 We generalize the Piterbarg (2010) model to include 1) bilateral default risk as in Burgard and Kjaer (2012), and 2) jumps in the dynamics of the underlying asset using general classes of L'evy processes of exponential type.
Jimmy eLaw +2 more
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Credit Derivative Evaluation and CVA Under the Benchmark Approach [PDF]
, 2015 © 2015, Springer Japan. In this paper, we discuss how to model credit risk under the benchmark approach. Firstly we introduce an affine credit risk model.
Baldeaux, J, Platen, E
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AN EQUILIBRIUM MODEL FOR AN OTC DERIVATIVE MARKET UNDER A COUNTERPARTY RISK CONSTRAINT
Journal of Financial Management, Markets and Institutions, 2018 In this study, we develop an equilibrium pricing model for an option contract with a counterparty risk, a collateral agreement, a counterparty risk constraint, and a threshold.
KAZUHIRO TAKINO
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An Accurate Solution for Credit Value Adjustment (CVA) and Wrong Way Risk [PDF]
, 1957 This paper presents a new framework for credit value adjustment (CVA) that is a relatively new area of financial derivative modeling and trading. In contrast to previous studies, the model relies on the probability distribution of a default time/jump ...
Xiao, Tim
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Efficient Risk Estimation for the Credit Valuation Adjustment
, 2023 The valuation of over-the-counter derivatives is subject to a series of valuation adjustments known as xVA, which pose additional risks for financial institutions. Associated risk measures, such as the value-at-risk of an underlying valuation adjustment, play an important role in managing these risks.
Giles, MB, Haji-Ali, A-L, Spence, J
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CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs Valuation FAQ: Re-hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk, Initial and Variation Margins, Multiple Discount Curves, FVA? [PDF]
, 2013 We present a dialogue on Funding Costs and Counterparty Credit Risk modeling, inclusive of collateral, wrong way risk, gap risk and possible Central Clearing implementation through CCPs.
Brigo, Damiano, Pallavicini, Andrea
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Carbon Management, 2017 Carbon offset credits can reduce a firm's financial risk associated with GHG compliance, but the credits themselves have inherent risk as they can be invalidated by the program administrator.
Tyler Joseph Tarnoczi
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