Dynamic hedging of counterparty exposure

DOI10.1007/978-3-319-02069-3_3MaRDI QIDQ4561926zbMATH OpenOpenAlexFDO

Authors Tomasz R. Bielecki, Stéphane Crépey

Publication date 13 December 2018

Published in Inspired by Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-02069-3_3

zbMATH Keywords

collateralizationcounterparty riskcredit riskcredit valuation adjustmentexpected positive exposurehedgingjoint defaultsMarkov copula

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Recommendations

• Valuation and hedging of CDS counterparty exposure in a Markov copula model
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• Bilateral counterparty risk under funding constraints. II: CVA
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• Bounding wrong-way risk in CVA calculation

Cites work

• Credit risk: Modelling, valuation and hedging
• Hazard rate for credit risk and hedging defaultable contingent claims
• Modelling, pricing, and hedging counterparty credit exposure. A technical guide
• Pricing and trading credit default swaps in a hazard process model
• Study of Dependence for Some Stochastic Processes
• The mathematics of arbitrage
• Valuation and hedging of CDS counterparty exposure in a Markov copula model

Cited in

(15)

• Modelling, pricing, and hedging counterparty credit exposure. A technical guide
• Calculation of credit valuation adjustment based on least square Monte Carlo methods
• Dynamic investment and counterparty risk
• Estimating the counterparty risk exposure by using the Brownian motion local time
• Locally risk-minimizing hedging of counterparty risk for portfolio of credit derivatives
• A computational approach to hedging credit valuation adjustment in a jump-diffusion setting
• scientific article; zbMATH DE number 5894935 (Why is no real title available?)
• Hedging efficiently under correlation
• Simultaneous hedging of regulatory and accounting CVA
• Dynamic analysis of counterparty exposures and netting efficiency of central counterparty clearing
• Bilateral counterparty risk under funding constraints. II: CVA
• CVA with wrong way risk: sensitivities, volatility and hedging
• Valuation and hedging of CDS counterparty exposure in a Markov copula model
• Tractable hedging with additional hedge instruments
• Cooperative hedging with a higher interest rate for borrowing

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