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Credit Valuation Adjustment Study
, 2019 This paper presents a model for calculating credit value adjustment (CVA) by taking wrong way risk into account. Many people believe that the cash flows of a defaultable financial contract can be priced independently and then be summed up to give the final risky price of the contract. We emphasize here that this conclusion is only true of the financial
Tim Xiao
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The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment [PDF]
SSRN Electronic Journal, 2020 This article presents a generic model for pricing financial derivatives subject to counterparty credit risk. Both unilateral and bilateral types of credit risks are considered. Our study shows that credit risk should be modeled as American style options in most cases, which require a backward induction valuation.
Tim Xiao
+10 more sources
An Integrated Approach to Credit Valuation Adjustment
Social Science Research Network, 2023 David Lee
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Wrong-way risk in credit and funding valuation adjustments [PDF]
, 2022 2 figures ...
Mihail Turlakov
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Impact of Multiple Curve Dynamics in Credit Valuation Adjustments under\n Collateralization [PDF]
Quantitative Finance, 2015 arXiv admin note: text overlap with arXiv:1304 ...
Giacomo Bormetti +3 more
+9 more sources
Credit, funding, margin, and capital valuation adjustments for bilateral portfolios [PDF]
Probability, Uncertainty and Quantitative Risk, 2017 We apply to the concrete setup of a bank engaged into bilateral trade portfolios the XVA theoretical framework of (Albanese and Crepey2017), whereby so-called contra-liabilities and cost of capital are charged by the bank to its clients, on top of the fair valuation of counterparty risk, in order to account for the incompleteness of this risk.
Claudio Albanese +2 more
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Computing valuation adjustments for counterparty credit risk using a modified supervisory approach [PDF]
Review of Derivatives Research, 2020 AbstractConsidering counterparty credit risk (CCR) for derivatives using valuation adjustments (CVA) is a fundamental and challenging task for entities involved in derivative trading activities. Particularly calculating the expected exposure is time consuming and complex.
Patrick Büchel +2 more
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Interest Rate Swap Credit Valuation Adjustment [PDF]
SSRN Electronic Journal, 2014 The credit valuation adjustment (CVA) of OTC derivatives is an important part of the Basel III credit risk capital requirements and current accounting rules. Its calculation is not an easy task—not only is it necessary to model the future value of the derivative, but also the probability of the default of a counterparty.
Jakub Černý, J. Witzany
semanticscholar +6 more sources
From Credit Valuation Adjustments to Credit Capital Commitments
Quantitative Finance, 2012 We 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 ...
Dilip B. Madan
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Bilateral Credit Valuation Adjustment of an Optional Early Termination Clause [PDF]
SSRN Electronic Journal, 2012 Is an option to early terminate a swap at its market value worth zero? At first sight it is, but in presence of counterparty risk it depends on the criteria used to determine such market value. In case of a single uncollateralised swap transaction under ISDA between two defaultable counterparties, the additional unilateral option to early terminate the
Lorenzo Giada, Claudio Nordio
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