Behavioral value adjustments

DOI10.1142/S0219024917500509MaRDI QIDQ4602492zbMATH OpenFDO

Authors Matteo Bissiri, Riccardo Cogo

Publication date 11 January 2018

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0219024917500509

zbMATH Keywords

behavioral riskBIScredit riskCVAembedded optionIRRBBKVAMBSmortgageOASprepaymentRMBSXVA

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

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Cites work

• A HYBRID-FORM MODEL FOR THE PREPAYMENT-RISK-NEUTRAL VALUATION OF MORTGAGE-BACKED SECURITIES
• AN INTENSITY-BASED APPROACH TO THE VALUATION OF MORTGAGE CONTRACTS AND COMPUTATION OF THE ENDOGENOUS MORTGAGE RATE
• AN OPTION-THEORETIC PREPAYMENT MODEL FOR MORTGAGES AND MORTGAGE-BACKED SECURITIES
• Analysis of nonlinear valuation equations under credit and funding effects
• Basket option pricing and implied correlation in a one-factor Lévy model
• Bayesian forecasting of prepayment rates for individual pools of mortgages
• Behavioral value adjustments
• Counterparty credit risk, collateral and funding. With pricing cases for all asset classes
• Credit, funding, margin, and capital valuation adjustments for bilateral portfolios
• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Intensity-based framework and penalty formulation of optimal stopping problems
• Interest rate models -- theory and practice. With smile, inflation and credit
• Nonlinearity valuation adjustment. Nonlinear valuation under collateralization, credit risk, and funding costs
• On the pricing of American options
• TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS
• Valuation of mortgage-backed securities and mortgage derivatives: a closed-form approximation

Cited in

(3)

• Behavioral value adjustments
• Taming animal spirits: risk management with behavioural factors
• Pricing and hedging prepayment risk in a mortgage portfolio

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