Results 21 to 30 of about 2,619 (82)
The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment
Social Science Research Network, 2019 This article presents a generic model for pricing financial derivatives subject to counterparty credit risk. Both unilateral and bilateral types of credit risks are considered.
Tim Xiao
semanticscholar +2 more sources
APPLYING MPCA ANALYSIS TO EVALUATE FINANCIAL PERFORMANCE OF ROMANIAN LISTED COMPANIES [PDF]
Annals of the University of Oradea: Economic Science, 2017 The paper aims to investigate the main determinants of financial performance of Romanian companies using principal component analysis technique (PCA) for the year 2015 by constructing a composite index of financial performance and revealing also the main
Bogdan Victoria +2 more
doaj
Central Clearing Valuation Adjustment
, 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
COLLATERALIZED CVA VALUATION WITH RATING TRIGGERS AND CREDIT MIGRATIONS [PDF]
, 2012 In this paper we discuss the issue of computation of the bilateral credit valuation adjustment (CVA) under rating triggers, and in presence of ratings-linked margin agreements.
T. Bielecki +2 more
semanticscholar +1 more source
Nonlinear Valuation under Collateral, Credit Risk and Funding Costs: A Numerical Case Study Extending Black-Scholes [PDF]
, 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
Counterparty Risk Subject To ATE [PDF]
Rating trigger ATE (Additional Termination Event) is a counterparty risk mitigant that allows banks to terminate and close out bilateral derivative contracts if the credit rating of the counterparty falls below the trigger level.
Zhou, Richard
core +4 more sources
Calculation of Credit Valuation Adjustment Based on Least Square Monte Carlo Methods
, 2015 Counterparty credit risk has become one of the highest-profile risks facing participants in the financial markets. Despite this, relatively little is known about how counterparty credit risk is actually priced mathematically.
Qiang Liu
semanticscholar +1 more source
Understanding CVA, DVA, and FVA: Examples of Interest Rate Swap Valuation [PDF]
, 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
CVA and vulnerable options pricing by correlation expansions
, 2018 We consider the problem of computing the Credit Value Adjustment ({CVA}) of a European option in presence of the Wrong Way Risk ({WWR}) in a default intensity setting.
Antonelli, Fabio +2 more
core +1 more source
Credit valuation adjustment and wrong way risk
, 2013 We propose a copula function approach to evaluate credit valuation adjustment (CVA) under the assumption of wrong way risk, that is, dependence between the underlying asset and the default risk of the counter party.
Umberto Cherubini
semanticscholar +1 more source