Calculation of credit valuation adjustment based on least square Monte Carlo methods

DOI10.1155/2015/959312zbMATH Open1395.91478OpenAlexW2018589517WikidataQ59120061 ScholiaQ59120061MaRDI QIDQ1667063FDOQ1667063

Qian Liu

Publication date: 27 August 2018

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2015/959312

Recommendations

• Least squares Monte Carlo credit value adjustment with small and unidirectional bias
• Computing valuation adjustments for counterparty credit risk using a modified supervisory approach
• An improved least squares Monte Carlo valuation method based on heteroscedasticity
• Hybrid Monte Carlo methods in credit risk management
• Estimating sensitivities of portfolio credit risk using Monte Carlo
• Valuation of contingent guarantees using least-squares Monte Carlo
• On the calculation of risk measures using least-squares Monte Carlo
• Extending the Merton model with applications to credit value adjustment
• scientific article
• Computing credit valuation adjustment solving coupled PIDEs in the Bates model

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Credit risk (91G40)

Cites Work

• Efficient Risk Estimation via Nested Sequential Simulation
• Valuing American Options by Simulation: A Simple Least-Squares Approach
• Bilateral credit valuation adjustment for large credit derivatives portfolios
• COUNTERPARTY RISK AND FUNDING: THE FOUR WINGS OF THE TVA
• Weight-selected attribute bagging for credit scoring
• A fast Fourier transform technique for pricing European options with stochastic volatility and jump risk
• Dynamic Hedging of Counterparty Exposure
• Information loss method to measure node similarity in networks
• RESTRUCTURING COUNTERPARTY CREDIT RISK

Cited In (1)

• Estimating the counterparty risk exposure by using the Brownian motion local time

This page was built for publication: Calculation of credit valuation adjustment based on least square Monte Carlo methods

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1667063)