Simulation/Regression Pricing Schemes for CVA Computations on CDO Tranches

DOI10.1080/03610926.2013.809111MaRDI QIDQ5419656zbMATH OpenOpenAlexFDO

Authors Stéphane Crépey, Abdallh Rahal

Publication date 11 June 2014

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2013.809111

zbMATH Keywords

regressionMonte Carlo simulationcontinuous-time Markov chainsCDOcounterparty riskcredit derivativesCVA

Mathematics Subject Classification ID

Numerical analysis or methods applied to Markov chains (65C40) Numerical methods (including Monte Carlo methods) (91G60) Credit risk (91G40) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cites work

• A distribution-free theory of nonparametric regression
• A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
• Modelling, pricing, and hedging counterparty credit exposure. A technical guide
• On the Malliavin approach to Monte Carlo approximation of conditional expectations
• PARTICLE METHODS FOR THE ESTIMATION OF CREDIT PORTFOLIO LOSS DISTRIBUTIONS
• Study of Dependence for Some Stochastic Processes
• Study of dependence for some stochastic processes: symbolic Markov copulae
• Up and down credit risk
• Valuing American options by simulation: a simple least-squares approach

Cited in

(6)

• Dynamic hedging of portfolio credit risk in a Markov copula model
• Pricing synthetic CDO with MGB2 distribution
• Pathwise CVA regressions with oversimulated defaults
• Least squares Monte Carlo credit value adjustment with small and unidirectional bias
• CVA computing by PDE models
• XVA principles, nested Monte Carlo strategies, and GPU optimizations

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