Liquidity risk in derivatives valuation: an improved credit proxy method

DOI10.1080/14697688.2017.1315166MaRDI QIDQ4554432zbMATH OpenOpenAlexFDO

Authors Sumit Sourabh, Markus Hofer, Drona Kandhai

Publication date 14 November 2018

Published in Quantitative Finance (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

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

zbMATH Keywords

value at risk (VaR)credit default swapsliquidity risk

Mathematics Subject Classification ID

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

Recommendations

• Computing valuation adjustments for counterparty credit risk using a modified supervisory approach
• Liquidity risk, instead of funding costs, leads to a valuation adjustment for derivatives and other assets
• Liquidity-adjusted risk measures
• Credit risk valuation. Methods, models, and applications.
• Evaluation of counterparty risk for derivatives with early-exercise features

Cites work

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

Cited in

(3)

• scientific article; zbMATH DE number 6472298 (Why is no real title available?)
• 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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