Results 31 to 40 of about 121,966 (252)
A copula approach to credit valuation adjustment for swaps under wrong-way risk
, 2018 Jakub Černý, Jiří Witzany
openalex +3 more sources
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
doaj +1 more source
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
Tim Xiao
openalex +2 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.
Qian Feng, C. Oosterlee
semanticscholar +6 more sources
A primer on counterparty valuation adjustments in South Africa
South African Journal of Economic and Management Sciences, 2014 Counterparty valuation adjustment (CVA) risk accounts for losses due to the deterioration in credit quality of derivative counterparties with large credit spreads.
Gary Wayne van Vuuren +1 more
doaj +1 more source
The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment
, 2019 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
openalex +4 more sources
Modelling Counterparty Credit Risk in Czech Interest Rate Swaps
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2017 According to the Basel Committee’s estimate, three quarters of counterparty credit risk losses during the financial crisis in 2008 originate from credit valuation adjustment’s losses and not from actual defaults.
Lenka Křivánková, Silvie Zlatošová
doaj +1 more source
Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures
European Journal of Operational Research, 2018 Damiano Brigo, Frédéric Vrins
openalex +3 more sources
Quantifying Correlation Uncertainty Risk in Credit Derivatives Pricing
International Journal of Financial Studies, 2018 We propose a simple but practical methodology for the quantification of correlation risk in the context of credit derivatives pricing and credit valuation adjustment (CVA), where the correlation between rates and credit is often uncertain or unmodelled ...
Colin Turfus
doaj +1 more source