XVA analysis from the balance sheet (Q5014178): Difference between revisions

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+MaRDI publication profile
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+W3105091426
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+.00368
@@ Property / arXiv ID: 2009.00368 / rank @@
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@@ Property / cites work @@
+XVA PRINCIPLES, NESTED MONTE CARLO STRATEGIES, AND GPU OPTIMIZATIONS
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+Credit, funding, margin, and capital valuation adjustments for bilateral portfolios
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+XVA metrics for CCP optimization
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@@ Property / cites work @@
+Stochastic approximation schemes for economic capital and risk margin computations
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+Arbitrage‐free XVA
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+Credit risk: Modelling, valuation and hedging
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+Valuation and Hedging of Contracts with Funding Costs and Collateralization
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+A General Formula for Valuing Defaultable Securities
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+BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART I: PRICING
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+Counterparty risk and funding: immersion and beyond
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+Invariance times
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+Q5169724
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+When Capital Is a Funding Source: The Anticipated Backward Stochastic Differential Equations of X-Value Adjustments
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+A joint quantile and expected shortfall regression framework
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+PRICING AND HEDGING IN A DYNAMIC CREDIT MODEL
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+Higher order elicitability and Osband's principle
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+Stochastic finance. An introduction in discrete time.
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+An analysis of the conditions for the validity of Modigliani-Miller theorem with incomplete markets
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+Deep backward schemes for high-dimensional nonlinear PDEs
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+Valuing American Options by Simulation: A Simple Least-Squares Approach
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@@ links / mardi / name / links / mardi / name @@
+Publication:5014178