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Leveraging Bayesian Quadrature for Accurate and Fast Credit Valuation Adjustment Calculations
MathematicsCounterparty risk, which combines market and credit risks, gained prominence after the 2008 financial crisis due to its complexity and systemic implications.
Noureddine Lehdili +2 more
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Credit Valuation Adjustment Wrong-Way Risk in a Gaussian Copula Model
Journal of Credit Risk, 2019 The credit valuation adjustment (CVA) is currently calculated in financial institutions to measure counterparty credit risk (CCR) on over-the-counter derivatives. A key factor in CVA is wrong-way risk (WWR): the correlation between counterparty exposures and credit qualities. In this paper, we present an analytical expression for CVA with WWR under the
Kelin Pan, Chandra Khandrika
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Bankss Discretion Over the Debt Valuation Adjustment for Own Credit Risk
SSRN Electronic Journal, 2016 During 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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Credit Valuation Adjustment von Zinsswaps mit Collateral
, 2017 A company operating in a complex business may face several risks, one of them being the financial risk. The Financial Risk rises from several factors such as Market Risk, Credit Risk, Liquidity Risk and Operational Risk. Whereas all of these risks have had an influence on the contracts between market participants, much of the research was concentrated ...
Silvia Doko
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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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An Integrated Approach to Credit Valuation Adjustment
SSRN Electronic Journal, 2023 David Lee
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Basel IV implementation: a review of the case of the European Union [PDF]
Journal of Capital Markets Studies, 2020 Purpose – Introducing radical changes to the methodologies for the determination of capital requirements, the final stage of the Basel III standards, which is referred to as “Basel IV” by the industry, will be a significant challenge for the global ...
Mete Feridun, Alper Özün
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Interest Rate Swap Credit Valuation Adjustment [PDF]
The Journal of Derivatives, 2015 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 Cerny, Jiri Witzany
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Credit Valuation Adjustment in Financial Networks
SSRN Electronic Journal, 2023 Credit Valuation Adjustment captures the difference in the value of derivative contracts when the counterparty default probability is taken into account. However, in the context of a network of contracts, the default probability of a direct counterparty can depend substantially on the default probabilities of indirect counterparties. We develop a model
Barjašić, Irena +2 more
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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.
Giles, MB, Haji-Ali, A-L, Spence, J
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