Results 41 to 50 of about 1,828 (88)
Proxying credit curves via Wasserstein distances. [PDF]
Ann Oper Res, 2022 Michielon M, Khedher A, Spreij P.
europepmc +1 more source
CVA calculation for CDS on super senior ABS CDO [PDF]
The way monoline insurers estimate the FAS 157 credit value adjustments (CVA) on their ABS CDO insurance portfolios vastly overstates the benefits. We propose a simple method that is more accurate, especially when the counterparty default risk is high ...
Li, Hui
core +1 more source
Unilateral CVA for CDS in Contagion model: With volatilities and correlation of spread and interest [PDF]
The price of financial derivative with unilateral counterparty credit risk can be expressed as the price of an otherwise risk-free derivative minus a credit value adjustment(CVA) component that can be seen as shorting a call option, which is exercised ...
Bao, Qunfang +3 more
core +1 more source
Derivative Pricing under Asymmetric and Imperfect Collateralization and CVA [PDF]
The importance of collateralization through the change of funding cost is now well recognized among practitioners. In this article, we have extended the previous studies of collateralized derivative pricing to more generic situation, that is asymmetric ...
Akihiko Takahashi, Masaaki Fujii
core
Model-free bounds on bilateral counterparty valuation [PDF]
In the last years, counterparty default risk has experienced an increased interest both by academics as well as practitioners. This was especially motivated by the market turbulences and the financial crises over the past years which have highlighted the
Haase, Joerdis +2 more
core +1 more source
Markets and operations: 2010 Q2 [PDF]
This article reviews developments in sterling financial markets since the 2010 Q1 Quarterly Bulletin up to 21 May 2010. The article also reviews the Bank’s official operations.
Pain, Darren
core
UEG Week 2024 Poster Presentations
United European Gastroenterology Journal, Volume 12, Issue S8, Page 665-1360, October 2024.
wiley +1 more source
Abstracts from the 2021 Annual Meeting of the Society of General Internal Medicine. [PDF]
J Gen Intern Med, 2021 europepmc +1 more source
Credit contingent interest rate swap pricing. [PDF]
Math Ind Case Stud, 2017 Huang H, Huang H, Wang E, Zhu H.
europepmc +1 more source