Bounding wrong-way risk in CVA calculation
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Recommendations
- Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures
- CVA with wrong way risk: sensitivities, volatility and hedging
- A note on empirical analysis for general wrong-way risk and stressed CVA
- A subordinated CIR intensity model with application to wrong-way risk CVA
- Computing credit valuation adjustment for Bermudan options with wrong way risk
Cites work
- A characterization of random variables with minimum L^ 2-distance
- A strongly polynomial algorithm for the transportation problem
- An iterative procedure for general probability measures to obtain \(I\)-projections onto intersections of convex sets
- Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
- Bilateral counterparty risk under funding constraints. II: CVA
- Biproportional scaling of matrices and the iterative proportional fitting procedure
- Bounds for functions of dependent risks
- Contingency tables with given marginals
- Convergence of the iterative proportional fitting procedure
- Counterparty credit risk, collateral and funding. With pricing cases for all asset classes
- Extreme dependence for multivariate data
- I-divergence geometry of probability distributions and minimization problems
- Improved Fréchet bounds and model-free pricing of multi-asset options
- Martingale optimal transport and robust hedging in continuous time
- Mathematical risk analysis. Dependence, risk bounds, optimal allocations and portfolios
- Note on the Schrödinger equation and \(I\)-projections
- Polar factorization and monotone rearrangement of vector‐valued functions
- Risk aggregation with dependence uncertainty
- Robust hedging of barrier options.
- Robustness
Cited in
(27)- Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures
- Credit derivative evaluation and CVA under the benchmark approach
- Frameworks and results in distributionally robust optimization
- CVA and vulnerable options pricing by correlation expansions
- Deep learning for CVA computations of large portfolios of financial derivatives
- Evaluation of credit value adjustment in K-forward
- Extremal dependence for bilateral credit valuation adjustments
- A note on the double impact on CVA for CDS: wrong-way risk with stochastic recovery
- Least squares Monte Carlo credit value adjustment with small and unidirectional bias
- A note on empirical analysis for general wrong-way risk and stressed CVA
- A subordinated CIR intensity model with application to wrong-way risk CVA
- Dynamic hedging of counterparty exposure
- WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS
- Computing credit valuation adjustment for Bermudan options with wrong way risk
- Tight semi-model-free bounds on (bilateral) CVA
- CVA with Wrong-Way Risk in the Presence of Early Exercise
- Robust analysis in stochastic simulation: computation and performance guarantees
- A risk-sharing framework of bilateral contracts
- Optimization-based calibration of simulation input models
- CVA with wrong way risk: sensitivities, volatility and hedging
- Numerical procedures for a wrong way risk model with lognormal hazard rates and Gaussian interest rates
- Robust Actuarial Risk Analysis
- CVA under alternative settlement conventions and with systemic risk
- Wrong way risk corrections to CVA in CIR reduced-form models
- Bounds on Choquet risk measures in finite product spaces with ambiguous marginals
- Efficient wrong-way risk modeling for funding valuation adjustments
- Efficient risk estimation for the credit valuation adjustment
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