Results 241 to 247 of about 101,575 (247)
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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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Bilateral Credit Valuation Adjustment of CDS Under Systemic and Correlated Idiosyncratic Risks
Frontiers of MathematicszbMATH Open Web Interface contents unavailable due to conflicting licenses.
Cai, Xiaorong, Lin, Feng, Yang, Jingping
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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 ...
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Evaluating credit valuation adjustment with wrong-way risk for Bermudan options
Journal of Computational Finance, 2023Bing Dong, Wei Xu, Guangguang Wang
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