Results 21 to 30 of about 2,638 (100)

Small and state‐funded: An empirical study of liquidations in Scotland

open access: yesInternational Insolvency Review, Volume 32, Issue 3, Page 420-446, Winter 2023., 2023
Abstract There is significant scope for empirical research in the field of corporate insolvency law. This paper seeks to make a valuable contribution to this field of research. It features analysis of data regarding all insolvent liquidations in Scotland that had their end point within a period of a year, specifically 1 October 2019‐30 September 2020 ...
Jonathan Hardman, Alisdair MacPherson
wiley   +1 more source

Quantifying Correlation Uncertainty Risk in Credit Derivatives Pricing

open access: yesInternational 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

CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs Valuation FAQ: Re-hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk, Initial and Variation Margins, Multiple Discount Curves, FVA? [PDF]

open access: yes, 2013
We present a dialogue on Funding Costs and Counterparty Credit Risk modeling, inclusive of collateral, wrong way risk, gap risk and possible Central Clearing implementation through CCPs.
Brigo, Damiano, Pallavicini, Andrea
core   +1 more source

Efficient Option Pricing under Levy Processes, with CVA and FVA

open access: yesFrontiers 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

Gaussian Process Regression for Derivative Portfolio Modeling and Application to Credit Valuation Adjustment Computations

open access: yesJournal of Computational Finance, 2019
Modeling counterparty risk is computationally challenging because it requires the simultaneous evaluation of all trades between each counterparty under both market and credit risk.
S. Crépey, M. Dixon
semanticscholar   +1 more source

Rational Multi-Curve Models with Counterparty-Risk Valuation Adjustments [PDF]

open access: yes, 2015
We develop a multi-curve term structure setup in which the modelling ingredients are expressed by rational functionals of Markov processes. We calibrate to LIBOR swaptions data and show that a rational two-factor lognormal multi-curve model is sufficient
Crepey, Stephane   +3 more
core   +2 more sources

Credit Valuation Adjustment (CVA) Analytics

open access: yes, 2022
Credit Valuation Adjustment (CVA) is the difference in value of an OTC derivatives position due to counterparty credit risk. More informally, think of CVA as the fair value of buying protection against the counterparty’s potential failure to meet contractual obligations.
openaire   +1 more source

Credit Derivative Evaluation and CVA Under the Benchmark Approach [PDF]

open access: yes, 2015
© 2015, Springer Japan. In this paper, we discuss how to model credit risk under the benchmark approach. Firstly we introduce an affine credit risk model.
Baldeaux, J, Platen, E
core   +1 more source

Credit Valuation Adjustment (CVA) Introduction

open access: yes, 2020
Credit valuation adjustment (CVA) is the market price of counterparty credit risk that has become a central part of counterparty credit risk management. By definition, CVA is the difference between the risk-free portfolio value and the true/risky portfolio value. In practice, CVA should be computed at portfolio level. That means calculation should take
openaire   +2 more sources

Basel III Credit Valuation Adjustment Capital Charge and Wrong Way Risk

open access: yesBankers, Markets & Investors, 2018
As part of a very dynamic financial environment, regulations are always being improvedand enhanced in order to keep the financial markets as transparent and regulated aspossible.
MABELLE SAYAH
semanticscholar   +1 more source

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