Results 21 to 30 of about 101,575 (247)
Asymmetric Defaultable Interest Rate Swap Valuation and Bilateral Credit Value Adjustment [PDF]
SSRN Electronic Journal, 2018 The unilateral defaultable claim valuation problems have been studied extensively, but the valuation of a bilateral contingent claim with asymmetric credit qualities is still lacking convincing mechanism. This paper presents an analytical model for valuing contingent claims, e.g., interest rate swaps, subject to default by both counterparties.
Alan White
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Wrong-way risk in credit and funding valuation adjustments [PDF]
, 2012 2 figures ...
Mihail Turlakov
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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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Computing credit valuation adjustment solving coupled PIDEs in the Bates model [PDF]
Computational Management Science, 2020 Credit value adjustment (CVA) is the charge applied by financial institutions to the counterparty to cover the risk of losses on a counterpart default event. In this paper we estimate such a premium under the Bates stochastic model (Bates [4]), which considers an underlying affected by both stochastic volatility and random jumps.
Ludovic Goudenège +2 more
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Credit Valuation Adjustment of Credit Default Swaps by Lévy Structural Models
, 2017 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.
Mark John Bentley
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Counterparty Risk: Credit Valuation Adjustment Variability and Value-At-Risk
Journal of Risk, 2019 The third installment of the Basel Accords advocates a capital charge against credit valuation adjustment (CVA) variability. We propose an efficient numerical approach that allows us to compute risk measures for the CVA process by assessing the distribution of the CVA at a given horizon.
Michèle Breton, Oussama Marzouk
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Calculation of Credit Valuation Adjustment Based on Least Square Monte Carlo Methods [PDF]
Mathematical Problems in Engineering, 2015 Counterparty credit risk has become one of the highest-profile risks facing participants in the financial markets. Despite this, relatively little is known about how counterparty credit risk is actually priced mathematically. We examine this issue using interest rate swaps.
Qian Liu
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Credit Valuation Adjustment: In theory and practice
, 2014 This thesis is intended to give an overview of creditvaluation adjustment (CVA) and adjacent concepts. Firstly, the historicalevents that preceded the initiative to reform the Basel regulations and tointroduce CVA as a core component of counterparty credit risk are illustrated.After some conceptual background material, a journey is taken through ...
Dan Franzén, Otto Sjöholm
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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 ...
Roberto Daluiso
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An Integrated Approach to Credit Valuation Adjustment
SSRN Electronic Journal, 2023 David Lee
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