Simulation/Regression Pricing Schemes for CVA Computations on CDO Tranches
DOI10.1080/03610926.2013.809111zbMATH Open1290.91178OpenAlexW3122086254MaRDI QIDQ5419656FDOQ5419656
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
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regressionMonte Carlo simulationcontinuous-time Markov chainsCDOcounterparty riskcredit derivativesCVA
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)
Cites Work
- A distribution-free theory of nonparametric regression
- A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
- Study of Dependence for Some Stochastic Processes
- Valuing American options by simulation: a simple least-squares approach
- On the Malliavin approach to Monte Carlo approximation of conditional expectations
- Modelling, pricing, and hedging counterparty credit exposure. A technical guide
- Up and down credit risk
- Study of dependence for some stochastic processes: symbolic Markov copulae
- PARTICLE METHODS FOR THE ESTIMATION OF CREDIT PORTFOLIO LOSS DISTRIBUTIONS
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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