Integrated structural approach to credit value adjustment
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Recommendations
- Credit default swaps with and without counterparty and collateral adjustments
- Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options
- A structural jump threshold framework for credit risk
- Calculation of credit valuation adjustment based on least square Monte Carlo methods
- A Lévy HJM multiple-curve model with application to CVA computation
Cites work
- A defaultable HJM modelling of the Libor rate for pricing basis swaps after the credit crunch
- A dynamic program for valuing corporate securities
- A novel pricing method for European options based on Fourier-cosine series expansions
- An Edgeworth approximation for the calibration of a Lévy hybrid model using the physical measure
- Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
- Counterparty credit risk, collateral and funding. With pricing cases for all asset classes
- Counterparty risk and funding. A tale of two puzzles. With an introductory dialogue by Damiano Brigo
- Counterparty risk pricing: impact of closeout and first-to-default times
- CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK
- CVA and FVA to derivatives trades collateralized by cash
- Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures
- Efficient solution of structural default models with correlated jumps and mutual obligations
- Financial Modelling with Jump Processes
- scientific article; zbMATH DE number 3656980 (Why is no real title available?)
- scientific article; zbMATH DE number 3354430 (Why is no real title available?)
- Multivariate FX models with jumps: triangles, quantos and implied correlation
- Pricing counterparty risk including collateralization, netting rules, re-hypothecation and wrong-way risk
- Pricing derivatives with counterparty risk and collateralization: a fixed point approach
- PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
- Quantitative risk management. Concepts, techniques and tools
- Spitzer identity, Wiener-Hopf factorization and pricing of discretely monitored exotic options
- The empirical characteristic function and its applications
Cited in
(12)- CDS pricing with fractional Hawkes processes
- Smiles \& smirks: volatility and leverage by jumps
- Towards a \(\Delta\)-Gamma Sato multivariate model
- Structural recovery of face value at default
- Fourier based methods for the management of complex life insurance products
- Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options
- Impact of Multiple-Curve Dynamics in Credit Valuation Adjustments
- A unified approach to xVA with CSA discounting and initial margin
- Wrong way risk corrections to CVA in CIR reduced-form models
- Computing XVA for American basket derivatives by machine learning techniques
- Multivariate additive subordination with applications in finance
- Evaluation of counterparty credit risk under netting agreements
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