LEAST SQUARES MONTE CARLO CREDIT VALUE ADJUSTMENT WITH SMALL AND UNIDIRECTIONAL BIAS

DOI10.1142/S0219024916500485zbMath1396.91789OpenAlexW3124555103MaRDI QIDQ2953307

Oh Kang Kwon, Mark S. Joshi

Publication date: 4 January 2017

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024916500485

zbMATH Keywords

Monte Carlo simulationleast squares regressioncredit value adjustment

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Credit risk (91G40)

Related Items (3)

Deep xVA Solver: A Neural Network–Based Counterparty Credit Risk Management Framework ⋮ Efficient exposure computation by risk factor decomposition ⋮ Computing credit valuation adjustment solving coupled PIDEs in the Bates model

Cites Work

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• Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation
• Foresight Bias and Suboptimality Correction in Monte—Carlo Pricing of Options with Early Exercise
• Counterparty Credit Exposures for Interest Rate Derivatives using the Stochastic Grid Bundling Method
• Counterparty Credit Risk, Collateral and Funding

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