Evaluation of counterparty risk for derivatives with early-exercise features

DOI10.1016/J.JEDC.2018.01.014MaRDI QIDQ1657201zbMATH OpenOpenAlexFDO

Authors Michèle Breton, Oussama Marzouk

Publication date 13 August 2018

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2018.01.014

zbMATH Keywords

dynamic programmingfinancecredit riskcomputational methodcredit valuation adjustment

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Credit risk (91G40)

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Cites work

• scientific article; zbMATH DE number 1321699 (Why is no real title available?)
• A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models
• A method for numerical integration on an automatic computer
• A theory of the term structure of interest rates
• Approximate Dynamic Programming
• Approximation of dynamic programs
• Counterparty credit risk, collateral and funding. With pricing cases for all asset classes
• Counterparty risk pricing under correlation between default and interest rates
• Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
• Modelling, pricing, and hedging counterparty credit exposure. A technical guide
• On Cox processes and credit risky securities
• Option pricing when underlying stock returns are discontinuous
• Valuation of the early-exercise price for options using simulations and nonparametric regression

Cited in

(11)

• Estimating the counterparty risk exposure by using the Brownian motion local time
• Affine term structure models: A time‐change approach with perfect fit to market curves
• Analytical expressions to counterparty credit risk exposures for interest rate derivatives
• Pricing vulnerable European options under Lévy process with stochastic volatility
• Discrepancy between regulations and practice in initial margin calculation
• Computing credit valuation adjustment for Bermudan options with wrong way risk
• Liquidity risk in derivatives valuation: an improved credit proxy method
• Computing valuation adjustments for counterparty credit risk using a modified supervisory approach
• A Monte Carlo approach to American options pricing including counterparty risk
• CVA with Wrong-Way Risk in the Presence of Early Exercise
• Coherent global market simulations and securitization measures for counterparty credit risk

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