Results 91 to 100 of about 2,638 (100)

Overnight index swap and integrated credit valuation adjustment discounting

Journal of Securities Operations & Custody, 2013
A new generation of interest rate modelling based on dual curve pricing and integrated credit valuation adjustment (CVA) is evolving. This new framework requires a rethink of derivative modelling from first principles and presents significant challenges ...
R. Douglas, Dmitry Pugachevsky
semanticscholar   +1 more source

Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options

Review of Derivatives Research, 2016
Lie-Jane Kao
semanticscholar   +2 more sources

Counterparty risk valuation on credit-linked notes under a Markov Chain framework

Applied Mathematics-A Journal of Chinese Universities, 2021
Ting-ting Jiang, Xiao-song Qian, George Xianzhi Yuan   +2 more
semanticscholar   +1 more source

A Copula Approach to Credit Valuation Adjustment for Swaps Under Wrong-Way Risk

, 2018
Jakub Černý, J. Witzany
semanticscholar   +1 more source

Counterparty Credit Risk and Credit Valuation Adjustments (CVAs) for Interest Rate Derivatives–Current Challenges for CVA Desks

2013
Birgitta Drwenski, Jochen Beißer, Lutz Mangels   +2 more
openaire   +1 more source

CVA and DVA: Credit and Debit Valuation Adjustment Models

, 2015
Andrew David Green
semanticscholar   +1 more source

Wrong Way Risk Modeling and Computation in Credit Valuation Adjustment for European and Bermudan Options

, 2016
Qian Feng, C. Oosterlee
semanticscholar   +1 more source

Jumping with Default: Wrong-Way-Risk Modeling for Credit Valuation Adjustment

, 2016
Minqiang Li, F. Mercurio
semanticscholar   +1 more source

The Credit Valuation Adjustment of an Interest Rate Swap Step-by-Step (Static Formulation)

, 2016
Alonso Peña
semanticscholar   +1 more source

Counterparty risk valuation of kth-to-default credit-linked notes with contagion risk

Kangquan Zhi, Xiao-song Qian, Pin Wang
semanticscholar   +1 more source