Results 71 to 80 of about 1,828 (88)

A computational approach to hedging Credit Valuation Adjustment in a jump-diffusion setting

Applied Mathematics and Computation, 2021
Thomas van der Zwaard, Cornelis W Oosterlee   +1 more
exaly  

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

ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS

Mathematical Finance, 2014
Damiano Brigo, Agostino Capponi, Andrea Pallavicini   +2 more
exaly  

Nonlinear consistent valuation of CCP cleared or CSA bilateral trades with initial margins under credit, funding and wrong-way risks

Journal of Financial Engineering, 2014
Damiano Brigo, Andrea Pallavicini
exaly  

Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures

European Journal of Operational Research, 2018
Damiano Brigo, Frédéric Vrins
exaly  

Credit valuation adjustment and wrong way risk

Quantitative Finance Letters, 2013
Umberto Cherubini
exaly  

A Lévy HJM multiple-curve model with application to CVA computation

Quantitative Finance, 2015
Stéphane Crépey
exaly  

Pricing CDS spreads with Credit Valuation Adjustment using a mixture copula

Research in International Business and Finance, 2017
Etienne Harb
exaly  

BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA

Mathematical Finance, 2015
Stéphane Crépey
exaly  

An Analytical Expression for Credit Valuation Adjustment Pricing with Wrong-Way Risk

Economics, 2021
exaly