Computing valuation adjustments for counterparty credit risk using a modified supervisory approach

DOI10.1007/S11147-019-09165-WMaRDI QIDQ2211014zbMATH OpenOpenAlexWikidataFDO

Authors Patrick Büchel, Michael Kratochwil, Daniel Rösch

Publication date 10 November 2020

Published in Review of Derivatives Research (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s11147-019-09165-w

zbMATH Keywords

counterparty credit riskcredit exposurecredit valuation adjustments (CVA)standardized approach for measuring counterparty credit risk exposures (SA-CCR)

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Recommendations

• Analytical expressions to counterparty credit risk exposures for interest rate derivatives
• Evaluation of counterparty risk for derivatives with early-exercise features
• Efficient computation of exposure profiles for counterparty credit risk
• Modelling, pricing, and hedging counterparty credit exposure. A technical guide
• CVA under alternative settlement conventions and with systemic risk

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options

Cited in

(9)

• A counterparty valuation adjustment calculation model of multi-counterparties credit default swap
• Analytical expressions to counterparty credit risk exposures for interest rate derivatives
• Extending the Merton model with applications to credit value adjustment
• Discrepancy between regulations and practice in initial margin calculation
• Evaluation of counterparty risk for derivatives with early-exercise features
• Calculation of credit valuation adjustment based on least square Monte Carlo methods
• Smile and default: the role of stochastic volatility and interest rates in counterparty credit risk
• Liquidity risk in derivatives valuation: an improved credit proxy method
• Coherent global market simulations and securitization measures for counterparty credit risk

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