Dangerous knowledge: credit value adjustment with credit triggers

DOI10.1142/S0219024911006395MaRDI QIDQ3100992zbMATH OpenFDO

Authors Chuang Yi

Publication date 22 November 2011

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

zbMATH Keywords

counterparty credit riskmark-to-creditobliged (optional) credit triggersunilateral (bilateral) credit value adjustment

Mathematics Subject Classification ID

Credit risk (91G40)

Recommendations

• COLLATERALIZED CVA VALUATION WITH RATING TRIGGERS AND CREDIT MIGRATIONS
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Cites work

• Credit Risk Modeling

Cited in

(3)

• CVA under alternative settlement conventions and with systemic risk
• Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach
• COLLATERALIZED CVA VALUATION WITH RATING TRIGGERS AND CREDIT MIGRATIONS

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