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

DOI10.1155/2015/959312MaRDI QIDQ1667063zbMATH OpenOpenAlexWikidataFDO

Authors Qian Liu

Publication date 27 August 2018

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

Copyright license Creative Commons Attribution 3.0 Unported

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

Mathematics Subject Classification ID

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

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Cites work

• A fast Fourier transform technique for pricing European options with stochastic volatility and jump risk
• Bilateral credit valuation adjustment for large credit derivatives portfolios
• Counterparty risk and funding: the four wings of the TVA
• Dynamic hedging of counterparty exposure
• Efficient risk estimation via nested sequential simulation
• Information loss method to measure node similarity in networks
• Restructuring counterparty credit risk
• Valuing American options by simulation: a simple least-squares approach
• Weight-selected attribute bagging for credit scoring

Cited in

(5)

• Nonlinear Monte Carlo schemes for counterparty risk on credit derivatives
• Integrated structural approach to credit value adjustment
• Least squares Monte Carlo credit value adjustment with small and unidirectional bias
• Extending the Merton model with applications to credit value adjustment
• Estimating the counterparty risk exposure by using the Brownian motion local time

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