Liquidity risk in derivatives valuation: an improved credit proxy method

DOI10.1080/14697688.2017.1315166zbMATH Open1400.91610OpenAlexW2529587361MaRDI QIDQ4554432FDOQ4554432

Authors: Sumit Sourabh, Markus Hofer, Drona Kandhai 

Publication date: 14 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2017.1315166

Recommendations

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zbMATH Keywords

value at risk (VaR)credit default swapsliquidity risk

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Implied recovery
• Efficient computation of exposure profiles for counterparty credit risk

Cited In (3)

• Title not available (Why is that?)
• Liquidity risk, instead of funding costs, leads to a valuation adjustment for derivatives and other assets
• Proxying credit curves via Wasserstein distances

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