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Risk Perspective of Credit Valuation Adjustment
, 2020Giulio Carlone
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Credit Valuation Adjustment (CVA) [PDF]
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.
Peter Whitehead +3 more
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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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A method for pricing the credit valuation adjustment of unlisted companies
Journal of Risk Management in Financial Institutions, 2019Estimating the credit valuation adjustment (CVA) for unlisted companies is a challenging issue because it is not possible to estimate the risk neutral default probability from either the credit default swap (CDS) par spread or equity stock.
Matteo Formenti
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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 ...
Matthias Scherer, T. Schulz
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Journal of Risk Management in Financial Institutions
The adoption of Capital Requirements Regulation (CRR) III in 2024 introduced a new regulatory architecture for credit valuation adjustment (CVA), requiring financial institutions to align capital buffers with evolving counterparty credit risk. This paper
Daniela Gellenbeck +1 more
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The adoption of Capital Requirements Regulation (CRR) III in 2024 introduced a new regulatory architecture for credit valuation adjustment (CVA), requiring financial institutions to align capital buffers with evolving counterparty credit risk. This paper
Daniela Gellenbeck +1 more
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Pricing CDS spreads with Credit Valuation Adjustment using a mixture copula
Research in International Business and Finance, 2017Abstract Credit derivatives pricing models before Basel III ignored losses in market value stemming from higher probability of counterparty default. We propose a general credit derivatives pricing model to evaluate a Credit Default Swap (CDS) with counterparty risk, including the Credit Valuation Adjustment (CVA) in order to optimize the economic ...
Etienne Harb, W. Louhichi
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Credit valuation adjustment and wrong way risk
Quantitative Finance Letters, 2013We 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
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Credit Valuation Adjustment of Credit Default Swaps by Lévy Structural Models [PDF]
, 2018 This 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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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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