Toward a coherent Monte Carlo simulation of CVA

DOI10.1515/MCMA-2013-0026MaRDI QIDQ742082zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Malliavin calculusCVACVA sensitivity

Mathematics Subject Classification ID

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)

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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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