Results 231 to 240 of about 101,575 (247)

Development of robust machine learning models to estimate hydrochar higher heating value and yield based upon biomass proximate analysis. [PDF]

Bioresour Bioprocess
Hou G, Alkhayyat A, Almalkawi A, Yadav A, Shreenidhi HS, Saini V, Shomurotova S, Singh D, Jain V, Smerat A, Khalid A.   +10 more
europepmc   +1 more source

Credit Value Adjusted Real Options Based Valuation of Multiple-Exercise Government Guarantees for Infrastructure Projects

, 2012
Ali Naji Almassi
openalex   +1 more source

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Credit Valuation Adjustment (CVA)

SSRN Electronic Journal, 2008
This paper provides an overview of counterparty default risk and counter-party valuation adjustments, within the context of collateralized and un-collateralized trading relationships. The counterparty valuation adjustment terms are derived by decomposing an un-defaultable portfolio into a set of binary states.
Shahram Alavian, Jie Ding, Peter Whitehead, Leonardo Laudicina   +3 more
openaire   +1 more source

Credit Valuation Adjustments

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
openaire   +1 more source

EXTREMAL DEPENDENCE FOR BILATERAL CREDIT VALUATION ADJUSTMENTS

International Journal of Theoretical and Applied Finance, 2016
Recognizing 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
openaire   +2 more sources

Cash CVA -- Credit Valuation Adjustment in the Cash Form

SSRN Electronic Journal, 2021
Credit 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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Credit valuation adjustment and wrong way risk

Quantitative Finance Letters, 2013
We propose a copula function approach to evaluate credit valuation adjustment (CVA) under the assumption of wrong way risk, that is, dependence between the underlying asset and the default risk of the counter party. The model is applied to interest rate swap contracts that represent a huge share of the worldwide over-the-counter derivatives market. The
openaire   +1 more source