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2018
The derivative positions are subject to changes due to market volatility which changes the exposure to counterparty risk and the credit quality of the counterparty. Against this background, banks should keep aside additional capital, known as credit valuation adjustments (CVAs) capital charge, which stands for the difference between the risk-free and ...
Ioannis Akkizidis, Lampros Kalyvas
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The derivative positions are subject to changes due to market volatility which changes the exposure to counterparty risk and the credit quality of the counterparty. Against this background, banks should keep aside additional capital, known as credit valuation adjustments (CVAs) capital charge, which stands for the difference between the risk-free and ...
Ioannis Akkizidis, Lampros Kalyvas
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EXTREMAL DEPENDENCE FOR BILATERAL CREDIT VALUATION ADJUSTMENTS
International Journal of Theoretical and Applied Finance, 2016Recognizing counterparty default risk as integral part of the valuation process of financial derivatives has changed the classical view on option pricing. Calculating the bilateral credit valuation adjustment (BCVA) including wrong way risk (WWR) requires a sound model for the dependence structure between three quantities: the default times of the two ...
Scherer, Matthias, Schulz, Thorsten
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From credit valuation adjustments to credit capital commitments
Quantitative Finance, 2012We 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 ...
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Cash CVA -- Credit Valuation Adjustment in the Cash Form
SSRN Electronic Journal, 2021Credit 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.
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Overnight index swap and integrated credit valuation adjustment discounting
Journal of Securities Operations & Custody, 2013A new generation of interest rate modelling based on dual curve pricing and integrated credit valuation adjustment (CVA) is evolving. This new framework requires a rethink of derivative modelling from first principles and presents significant challenges for existing valuation, risk management and margining systems.
Rohan Douglas, Dmitry Pugachevsky
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Bankss Discretion Over the Debt Valuation Adjustment for Own Credit Risk
SSRN Electronic Journal, 2016During our 2007 to 2015 sample period, firms recorded unrealized gains and losses on fair-valued liabilities attributable to changes in the firms’ own credit risk, referred to as the debt valuation adjustment (DVA), in earnings. Various parties criticized the inclusion of DVA in earnings as counterintuitive and manipulable.
Minyue Dong +2 more
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Counterparty risk: credit valuation adjustment variability and value-at-risk
Journal of Risk, 2019The 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 distribution of the CVA at a given horizon.
Michele Breton, Oussama Marzouk
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Credit Valuation Adjustment von Zinsswaps mit Collateral
2017A 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 ...
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Credit Valuation Adjustment of Credit Default Swaps by Lévy Structural Models
2018This thesis seeks to extend mathematical models for default based on first passage times that were found to be insufficient in the Global Financial Crisis.
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