Results 21 to 30 of about 117,882 (162)
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
openalex +3 more sources
Basel III Credit Valuation Adjustment Capital Charge and Wrong Way Risk
Bankers, Markets & Investors, 2018 As 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.
Mabelle Sayah
openalex +2 more sources
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
openalex +5 more sources
Journal of Computational Finance, 2020 Modeling counterparty risk is computationally challenging because it requires the simultaneous evaluation of all trades between each counterparty under both market and credit risk.
Stéphane Crépey, Matthew Dixon
openalex +3 more sources
Credit valuation adjustment and wrong way risk [PDF]
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
Umberto Cherubini
openalex +3 more sources
Efficient Risk Estimation for the Credit Valuation Adjustment
, 2023 The valuation of over-the-counter derivatives is subject to a series of valuation adjustments known as xVA, which pose additional risks for financial institutions. Associated risk measures, such as the value-at-risk of an underlying valuation adjustment, play an important role in managing these risks.
Michael B. Giles +2 more
openalex +4 more sources
Default Process Modeling and Credit Valuation Adjustment
, 2023 24 pages, 6 ...
David Xiao
openalex +4 more sources
Credit Valuation Adjustment in Credit Risk with Simultaneous Defaults Possibility
, 2020 In a series of recent papers, Damiano Brigo, Andrea Pallavicini, and co-authors have shown that the value of a contract in a Credit Valuation Adjustment (CVA) setting, being the sum of the cash flows, can be represented as a solution of a decoupled forward-backward stochastic differential equation (FBSDE).
Aditi Dandapani, Philip Protter
openalex +4 more sources
Impact of multiple curve dynamics in credit valuation adjustments under collateralization [PDF]
Quantitative Finance, 2017 arXiv admin note: text overlap with arXiv:1304 ...
Giacomo Bormetti +3 more
openalex +7 more sources
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
openalex +4 more sources