Results 221 to 230 of about 101,869 (240)
Some of the next articles are maybe not open access.
Credit valuation adjustment wrong-way risk in a Gaussian copula model
Journal of Credit Risk, 2019The 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 and credit qualities. In this paper, we present an analytical expression for CVA with WWR under the
openaire +1 more source
Fast and stable second-order credit sensitivities of credit valuation adjustment
International Journal of Financial EngineeringCredit Valuation Adjustment is a balance sheet item which is nowadays subject to active risk management by specialized traders. However, the most important risk factors, which are the default intensities of the counterparties, affect in a nondifferentiable way the most general Monte Carlo estimator of the adjustment, through simulation of default ...
openaire +1 more source
Basel III Credit Valuation Adjustment Capital Charge and Wrong Way Risk
Bankers, Markets & Investors, 2018As part of a very dynamic financial environment, regulations are always being improvedand enhanced in order to keep the financial markets as transparent and regulated aspossible. Basel is currently shifting towards central clearing of derivatives productsand amending a capital charge, Credit Valuation Adjustment (CVA) capital charge, forthose that are ...
openaire +1 more source
Credit valuation adjustment modelling during a global low interest rate environment
2015The 2008/2009 global crisis highlighted the vulnerabilities and inter-dependencies in the financial system including the global over-the-counter (OTC) derivatives markets, where significant counterparty credit risk prevails. In this paper, we deal with risk under Basel III banking regulation and provide credit valuation adjustment (CVA) modelling ...
Petr Macek, Petr Teply
openaire +2 more sources
Banks’ Discretion Over the Debt Valuation Adjustment for Own Credit Risk
Journal of Accounting, Auditing & Finance, 2023Minyue Dong, Stephen G Ryan
exaly
An Integrated Approach to Credit Valuation Adjustment
SSRN Electronic Journal, 2023openaire +1 more source
Evaluating credit valuation adjustment with wrong-way risk for Bermudan options
Journal of Computational Finance, 2023Bing Dong, Wei Xu, Guangguang Wang
openaire +1 more source
Pricing CDS spreads with Credit Valuation Adjustment using a mixture copula
Research in International Business and Finance, 2017Etienne Harb
exaly
Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures
European Journal of Operational Research, 2018Damiano Brigo, Frédéric Vrins
exaly