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]

open access: yes, 2014
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 partnerkockázat árazása - A hitelértékelésikiigazítás elemzése = Pricing counterparty credit risk - An analysis of the Credit Valuation Adjustment

open access: yes, 2019
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]

open access: yes, 2014
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]

open access: yes, 2019
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]

open access: yes
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

open access: yes, 2017
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]

open access: yes, 2006
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]

open access: yes, 2005
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]

open access: yes
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]

open access: hybrid, 2022
Wen C. Lin   +3 more
openalex   +1 more source

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