Results 21 to 30 of about 101,869 (240)
A market-consistent framework for the fair evaluation of insurance contracts under Solvency II [PDF]
, 2019 The entry into force of the Solvency II regulatory regime is pushing insurance companies in engaging into market consistence evaluation of their balance sheet, mainly with reference to financial options and guarantees embedded in life with-profit funds ...
Casalini, R. +3 more
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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 Goudenege +2 more
openaire +4 more sources
Quantitative assessment of common practice procedures in the fair evaluation of embedded options in insurance contracts [PDF]
, 2018 This work analyses the common industry practice used to evaluate financial options written on with-profit policies issued by European insurance companies.
Alessandro Ghilarducci +21 more
core +2 more sources
An Efficient, Distributable, Risk Neutral Framework for CVA Calculation
, 2010 The importance of counterparty credit risk to the derivative contracts was demonstrated consistently throughout the financial crisis of 2008. Accurate valuation of Credit value adjustment (CVA) is essential to reflect the economic values of these risks ...
Juan, Frank, Lu, Dongsheng
core +1 more source
Impact of Multiple-Curve Dynamics in Credit Valuation Adjustments [PDF]
, 2016 We present a detailed analysis of interest rate derivatives valuation under credit risk and collateral modeling. We show how the credit and collateral extended valuation framework in Pallavicini et al. (2011) can be helpful in defining the key market rates underlying the multiple interest rate curves that characterize current interest rate markets.
BORMETTI, GIACOMO +3 more
openaire +2 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 ...
Bormetti, Giacomo +3 more
openaire +4 more sources
COMPUTING CREDIT VALUATION ADJUSTMENT FOR BERMUDAN OPTIONS WITH WRONG WAY RISK [PDF]
International Journal of Theoretical and Applied Finance, 2017 We study the impact of wrong way risk (WWR) on credit valuation adjustment (CVA) for Bermudan options. WWR is modeled by a dependency between the underlying asset and the intensity of the counterparty’s default. Two WWR models are proposed, based on a deterministic function and a CIR-jump (CIRJ) model, respectively.
Feng, Q. (author) +1 more
openaire +4 more sources
Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments [PDF]
, 2015 We develop a multi-curve term structure setup in which the modelling ingredients are expressed by rational functionals of Markov processes. We calibrate to LIBOR swaptions data and show that a rational two-factor lognormal multi-curve model is sufficient
Crepey, Stephane +3 more
core +2 more sources
Credit Valuation Adjustment (CVA) Analytics
, 2022 Credit Valuation Adjustment (CVA) is the difference in value of an OTC derivatives position due to counterparty credit risk. More informally, think of CVA as the fair value of buying protection against the counterparty’s potential failure to meet contractual obligations.
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Credit Valuation Adjustment (CVA) Introduction
, 2020 Credit valuation adjustment (CVA) is the market price of counterparty credit risk that has become a central part of counterparty credit risk management. By definition, CVA is the difference between the risk-free portfolio value and the true/risky portfolio value. In practice, CVA should be computed at portfolio level. That means calculation should take
openaire +2 more sources