Toward a coherent Monte Carlo simulation of CVA
DOI10.1515/MCMA-2013-0026zbMATH Open1302.91191OpenAlexW1981787851MaRDI QIDQ742082FDOQ742082
Authors: Lokman A. Abbas-Turki, Aych Bouselmi, Mohammed Adam Mikou 
Publication date: 17 September 2014
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/mcma-2013-0026
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Monte Carlo methods (65C05) Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical methods (including Monte Carlo methods) (91G60) Credit risk (91G40) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cited In (5)
- Stochastic approximation schemes for economic capital and risk margin computations
- 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
- CVA with Wrong-Way Risk in the Presence of Early Exercise
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