Results 51 to 60 of about 117,882 (162)
Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes [PDF]
We develop an arbitrage-free framework for consistent valuation of derivative trades with collateralization, counterparty credit gap risk, and funding costs, following the approach first proposed by Pallavicini and co-authors in 2011.
Brigo, Damiano+3 more
core
A dolgozat a partnerkockazat kezelesenek egyik modszerevel, a partnerkockazat arazasaval foglalkozik. A partnerkockazat az OTC piacokon megkotott derivativ szerződesek elettartama soran, a partnerek lehetseges nemteljesiteseből eredő veszteseg kockazata.
P. Boros
semanticscholar +1 more source
Valuation and Hedging of Contracts with Funding Costs and Collateralization [PDF]
The research presented in this work is motivated by recent papers by Brigo et al. (2011), Burgard and Kjaer (2009), Cr\'epey (2012), Fujii and Takahashi (2010), Piterbarg (2010) and Pallavicini et al. (2012).
Bielecki, Tomasz R., Rutkowski, Marek
core
Understanding CVA, DVA, and FVA: Examples of Interest Rate Swap Valuation [PDF]
Financial statements of major money-center commercial banks increasingly include reference to a credit valuation adjustment (CVA), debit (or debt) valuation adjustment (DVA), and funding valuation adjustment (FVA).
Smith, Donald J.
core +1 more source
On the mathematical form of CVA in Basel III. [PDF]
Credit valuation adjustment in Basel III is studied from the perspective of the mathematics involved. A bank covers mark-to-market losses for expected counterparty risk with a CVA capital charge. The CVA is known as credit valuation adjustments.
Geurdes, Han / J. F.
core +1 more source
Central Clearing Valuation Adjustment
This paper develops an XVA (costs) analysis of centrally cleared trading, parallel to the one that has been developed in the last years for bilateral transactions.
Armenti, Yannick, Crépey, Stéphane
core +2 more sources
Concentration risk under Pillar 2: When are credit portfolios infinitely fine grained? [PDF]
The ongoing debate concerning credit concentration risk is mainly driven by the requirements on credit risk management due to Pillar 2 of Basel II since risks (e.g.
Gürtler, Marc+2 more
core
Correlation, price discovery and co-movement of ABS and equity [PDF]
Asset-backed securitization (ABS) has become a viable and increasingly attractive risk management and refinancing method either as a standalone form of structured finance or as securitized debt in Collateralized Debt Obligations (CDO).
Jobst, Andreas A.
core
Concentration risk under Pillar 2: When are credit portfolios infinitely fine grained? [PDF]
The ongoing debate concerning credit concentration risk is mainly driven by the requirements on credit risk management due to Pillar 2 of Basel II since risks (e.g.
Gürtler, Marc+2 more
core
What can we learn about credit risk from debt valuation adjustments? [PDF]
Wen C. Lin+3 more
openalex +1 more source