Least squares Monte Carlo credit value adjustment with small and unidirectional bias

DOI10.1142/S0219024916500485MaRDI QIDQ2953307zbMATH OpenOpenAlexFDO

Authors Mark Joshi, Oh Kang Kwon

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

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

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Cites work

• scientific article; zbMATH DE number 1999206 (Why is no real title available?)
• scientific article; zbMATH DE number 934464 (Why is no real title available?)
• Counterparty credit exposures for interest rate derivatives using the stochastic grid bundling method
• Counterparty credit risk, collateral and funding. With pricing cases for all asset classes
• Counterparty risk pricing under correlation between default and interest rates
• Foresight Bias and Suboptimality Correction in Monte—Carlo Pricing of Options with Early Exercise
• Practical policy iteration: generic methods for obtaining rapid and tight bounds for Bermudan exotic derivatives using Monte Carlo simulation

Cited in

(5)

• A static replication approach for callable interest rate derivatives: mathematical foundations and efficient estimation of SIMM–MVA
• Calculation of credit valuation adjustment based on least square Monte Carlo methods
• Computing credit valuation adjustment solving coupled PIDEs in the Bates model
• Efficient exposure computation by risk factor decomposition
• Deep xVA Solver: A Neural Network–Based Counterparty Credit Risk Management Framework

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