Counterparty risk and funding: immersion and beyond
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Publication:331358
DOI10.1007/S00780-016-0305-3zbMATH Open1380.91139OpenAlexW2289378561MaRDI QIDQ331358FDOQ331358
Authors: Stéphane Crépey, Shiqi Song 
Publication date: 27 October 2016
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-016-0305-3
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collateralimmersionBSDEcounterparts riskcredit derivativesfundinggap riskmarked default timesMarshall-Olkin copulareduced-form credit modellingwrong-way risk
Credit risk (91G40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cites Work
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- Backward Stochastic Differential Equations in Finance
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- Perturbative expansion technique for non-linear FBSDEs with interacting particle method
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- BSDEs with monotone generator driven by Brownian and Poisson noises in a general filtration
- Analytical approximation for non-linear FBSDEs with perturbation scheme
- Arbitrage-free XVA
- Contingent claim valuation in a market with different interest rates
- Counterparty risk and funding. A tale of two puzzles. With an introductory dialogue by Damiano Brigo
- Optional splitting formula in a progressively enlarged filtration
- Bilateral counterparty risk under funding constraints. II: CVA
- Central clearing valuation adjustment
- Counterparty risk and funding: the four wings of the TVA
- Invariance times
Cited In (28)
- Credit, funding, margin, and capital valuation adjustments for bilateral portfolios
- BSDEs of counterparty risk
- Arbitrage-free pricing of derivatives in nonlinear market models
- Counterparty Risk in Financial Contracts: Should the Insured Worry about the Insurer?*
- Asymptotic expansion for forward-backward SDEs with jumps
- Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions
- Cross Currency Valuation and Hedging in the Multiple Curve Framework
- Stochastic approximation schemes for economic capital and risk margin computations
- Estimating the counterparty risk exposure by using the Brownian motion local time
- Generalized BSDE and reflected BSDE with random time horizon
- Penalization schemes for BSDEs and reflected BSDEs with generalized driver
- XVA analysis from the balance sheet
- Discrepancy between regulations and practice in initial margin calculation
- Analysis of nonlinear valuation equations under credit and funding effects
- A boundary crossing model of counterparty risk
- The martingale approach for credit-risky option pricing
- Mild to classical solutions for XVA equations under stochastic volatility
- Numerical methods for backward stochastic differential equations: a survey
- WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS
- Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement
- XVA principles, nested Monte Carlo strategies, and GPU optimizations
- Immersion property and credit risk modelling
- Counterparty risk and funding: the four wings of the TVA
- Bilateral counterparty risk under funding constraints. I: Pricing
- Central clearing valuation adjustment
- XVA metrics for CCP optimization
- Nonlinear Monte Carlo schemes for counterparty risk on credit derivatives
- Notes on backward stochastic differential equations for computing XVA
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