Coherent global market simulations and securitization measures for counterparty credit risk

DOI10.1080/14697688.2010.542633MaRDI QIDQ2994850zbMATH OpenOpenAlexFDO

Authors Claudio Albanese, Toufik Bellaj, Guillaume Gimonet, Giacomo Pietronero

Publication date 29 April 2011

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2010.542633

Mathematics Subject Classification ID

Credit risk (91G40)

Recommendations

• Computing valuation adjustments for counterparty credit risk using a modified supervisory approach
• Modelling, pricing, and hedging counterparty credit exposure. A technical guide
• Arbitrage-free valuation of bilateral counterparty risk for interest-rate products: impact of volatilities and correlations
• Evaluation of counterparty risk for derivatives with early-exercise features
• Valuation of complex financial instruments for credit risk transfer

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• The pricing of options and corporate liabilities

Cited in

(7)

• ON MULTI-ASSET SPREAD OPTION PRICING IN A WICK–ITÔ–SKOROHOD INTEGRAL FRAMEWORK
• From credit valuation adjustments to credit capital commitments
• Quantitative reverse stress testing, bottom up
• Pricing of vanilla and first-generation exotic options in the local stochastic volatility framework: survey and new results
• Credit, funding, margin, and capital valuation adjustments for bilateral portfolios
• XVA principles, nested Monte Carlo strategies, and GPU optimizations
• Wealth transfers, indifference pricing, and XVA compression schemes

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