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

DOI10.1007/S11147-019-09165-WzbMATH Open1451.91209OpenAlexW3000619392WikidataQ126355306 ScholiaQ126355306MaRDI QIDQ2211014FDOQ2211014

Authors: Patrick Büchel, Michael Kratochwil, Daniel Rösch 

Publication date: 10 November 2020

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

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

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

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)

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
• Smile and default: the role of stochastic volatility and interest rates in counterparty credit risk
• Calculation of credit valuation adjustment based on least square Monte Carlo methods
• Liquidity risk in derivatives valuation: an improved credit proxy method
• Coherent global market simulations and securitization measures for counterparty credit risk

This page was built for publication: Computing valuation adjustments for counterparty credit risk using a modified supervisory approach

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2211014)