Results 31 to 40 of about 117,882 (162)
Credit valuation adjustment [PDF]
, 2016 O objetivo desta dissertação é proporcionar uma visão mais abrangente da técnica de Credit Valuation Adjustment (CVA). A visão que se pretende transmitir vai desde a origem do tema às diferentes abordagens para a implementação do ajustamento, passando obrigatoriamente pela temática das diferentes regulamentações produzidas pelos organismos reguladores ...
Sousa, Bruno Filipe Soares dos Santos
core +5 more sources
Credit Valuation Adjustment Model
, 2019 Credit valuation adjustment (CVA) has become the first line of defense and the central part of counterparty risk management. This paper presents a new framework for calculating credit value adjustment. The model can easily incorporate various credit mitigation techniques, such as netting agreements and margin agreements, and can capture wrong/right way
Tim Xiao
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
Distributionally Robust XVA via Wasserstein Distance: Wrong Way Counterparty Credit and Funding Risk [PDF]
, 2020 This paper investigates calculations of robust X-Value adjustment (XVA), in particular, credit valuation adjustment (CVA) and funding valuation adjustment (FVA), for over-the-counter derivatives under distributional ambiguity using Wasserstein distance ...
Singh, Derek, Zhang, Shuzhong
core +4 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
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
Counterparty risk pricing: impact of closeout and first-to-default times [PDF]
, 2012 In the absence of a universally accepted procedure for the credit valuation adjustment (CVA) calculation, we compare a number of different bilateral counterparty valuation adjustment (BVA) formulas.
Brigo, Damiano +2 more
core +2 more sources