Results 31 to 40 of about 101,575 (247)
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
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 modelling during a global low interest rate environment
, 2015 The 2008/2009 global crisis highlighted the vulnerabilities and inter-dependencies in the financial system including the global over-the-counter (OTC) derivatives markets, where significant counterparty credit risk prevails. In this paper, we deal with risk under Basel III banking regulation and provide credit valuation adjustment (CVA) modelling ...
Petr Macek, Petr Teplý
openalex +3 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
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
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
Efficient Option Pricing under Levy Processes, with CVA and FVA
Frontiers in Applied Mathematics and Statistics, 2015 We generalize the Piterbarg (2010) model to include 1) bilateral default risk as in Burgard and Kjaer (2012), and 2) jumps in the dynamics of the underlying asset using general classes of L'evy processes of exponential type.
Jimmy eLaw +2 more
doaj +1 more source
Credit Derivative Evaluation and CVA Under the Benchmark Approach [PDF]
, 2015 © 2015, Springer Japan. In this paper, we discuss how to model credit risk under the benchmark approach. Firstly we introduce an affine credit risk model.
Baldeaux, J, Platen, E
core +1 more source
AN EQUILIBRIUM MODEL FOR AN OTC DERIVATIVE MARKET UNDER A COUNTERPARTY RISK CONSTRAINT
Journal of Financial Management, Markets and Institutions, 2018 In this study, we develop an equilibrium pricing model for an option contract with a counterparty risk, a collateral agreement, a counterparty risk constraint, and a threshold.
KAZUHIRO TAKINO
doaj +1 more source
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
openaire +3 more sources