Dangerous knowledge: credit value adjustment with credit triggers

DOI10.1142/S0219024911006395zbMATH Open1282.91365MaRDI QIDQ3100992FDOQ3100992

Chuang Yi

Publication date: 22 November 2011

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

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zbMATH Keywords

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

Mathematics Subject Classification ID

Credit risk (91G40)

Cites Work

• Credit Risk Modeling

Cited In (3)

• CVA UNDER ALTERNATIVE SETTLEMENT CONVENTIONS AND WITH SYSTEMIC RISK
• COLLATERALIZED CVA VALUATION WITH RATING TRIGGERS AND CREDIT MIGRATIONS
• Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach

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