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

DOI10.1155/2015/959312zbMath1395.91478OpenAlexW2018589517WikidataQ59120061 ScholiaQ59120061MaRDI QIDQ1667063

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

Mathematics Subject Classification ID

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

Related Items (1)

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

Cites Work

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

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