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~subject:"Derivat"
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Derivat
Credit risk
38
Kreditrisiko
38
Derivative
26
credit valuation adjustment
26
Theorie
19
Theory
19
Counterparty risk
16
Credit valuation adjustment
14
Financial services
13
Finanzdienstleistung
13
Option pricing theory
13
Optionspreistheorie
13
credit valuation adjustment (CVA)
12
Risikomanagement
10
Risk management
10
Swap
10
Credit Valuation Adjustment
9
Credit derivative
8
Kreditderivat
8
counterparty risk
8
default correlation
8
counterparty credit risk
7
Collateral
6
Credit default swaps
6
Kreditsicherung
6
CVA
5
Interest rate derivative
5
Multivariate Verteilung
5
Multivariate distribution
5
Zinsderivat
5
wrong-way risk
5
Counterparty Credit Risk
4
Counterparty Risk
4
Credit default swap
4
Credit rating
4
Kreditwürdigkeit
4
Portfolio selection
4
Portfolio-Management
4
Stochastic process
4
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Undetermined
9
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3
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Article
24
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23
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23
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2
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1
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English
25
German
1
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Brigo, Damiano
6
Crépey, Stéphane
4
Pallavicini, Andrea
4
Capponi, Agostino
3
Kandhai, Drona
2
Papatheodorou, Vasileios
2
Albanese, Claudio
1
Andersen, Leif
1
Baldeaux, Jan
1
Bielecki, Tomasz R.
1
Bo, Lijun
1
Breton, Michèle
1
Buescu, Cristin
1
Chataigner, Marc
1
Chen, Yuwei
1
Christara, Christiana C.
1
Cialenco, Igor
1
C̆erný, Jakub
1
Dickinson, Andrew
1
Dixon, Matthew F.
1
Ehrhardt, Matthias
1
Feng, Qian
1
Fernández Muñoz de Morales, Alberto
1
Gerboud, Rémi
1
Graaf, Cornelis S. L. de
1
Grbac, Zorana
1
Gunnesson, C. Johan
1
Günther, Michael
1
Iyigunler, Ismail
1
Jain, Shashi
1
Karlsson, Patrik
1
Kim, Jinbeom
1
Klement, Jochen
1
Leung, Tim
1
Mahayni, Antje
1
Marzouk, Oussama
1
Morini, Massimo
1
Ngor, Nathalie
1
Oertel, Frank
1
Oosterlee, Cornelis Willebrordus
1
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International journal of theoretical and applied finance
8
The journal of computational finance
4
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
The journal of credit risk : published quarterly by Incisive Media
2
Asia-Pacific financial markets
1
European journal of operational research : EJOR
1
Finance and stochastics
1
Handbuch Solvabilität : aufsichtliche Kapitalanforderungen an Kreditinstitute
1
IES working paper
1
Journal of economic dynamics & control
1
Journal of financial engineering
1
Risks : open access journal
1
The journal of financial market infrastructures
1
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ECONIS (ZBW)
26
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1
Credit
valuation
adjustment
compression by genetic optimization
Chataigner, Marc
;
Crépey, Stéphane
- In:
Risks : open access journal
7
(
2019
)
4/100
,
pp. 1-21
possible. In this work, we present a genetic algorithm applied to the compression of
credit
valuation
adjustment
(CVA), the …
Persistent link: https://www.econbiz.de/10012128035
Saved in:
2
Penalty methods for bilateral XVA pricing in European and American contingent claims by a partial differential equation model
Chen, Yuwei
;
Christara, Christiana C.
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 41-70
Persistent link: https://www.econbiz.de/10012544162
Saved in:
3
Gaussian process regression for derivative portfolio modeling and application to
credit
valuation
adjustment
computations
Crépey, Stéphane
;
Dixon, Matthew F.
- In:
The journal of computational finance
24
(
2020
)
1
,
pp. 47-81
Persistent link: https://www.econbiz.de/10012421957
Saved in:
4
Market and counterparty credit risk : selected computational and managerial aspects
Schwake, Daniel
-
2016
Persistent link: https://www.econbiz.de/10012384955
Saved in:
5
Funding and credit risk with locally elliptical portfolio processes : an application to central counterparties
Andersen, Leif
;
Dickinson, Andrew
- In:
The journal of financial market infrastructures
7
(
2019
)
4
,
pp. 27-70
Persistent link: https://www.econbiz.de/10012104989
Saved in:
6
Interest rate swap
credit
valuation
adjustment
Černý, Jakub
;
Witzany, Jiří
-
2014
The
credit
valuation
adjustment
(CVA) of OTC derivatives is an important part of the Basel III credit risk capital …
Persistent link: https://www.econbiz.de/10010358352
Saved in:
7
A copula approach to
credit
valuation
adjustment
for swaps under wrong-way risk
C̆erný, Jakub
;
Witzany, Jir̆í
- In:
The journal of credit risk : published quarterly by …
14
(
2018
)
1
,
pp. 31-43
Persistent link: https://www.econbiz.de/10011885459
Saved in:
8
Evaluation of counterparty risk for derivatives with early-exercise features
Breton, Michèle
;
Marzouk, Oussama
- In:
Journal of economic dynamics & control
88
(
2018
),
pp. 1-20
Persistent link: https://www.econbiz.de/10011973914
Saved in:
9
Efficient estimation of sensitivities for counterparty credit risk with the finite difference Monte Carlo method
Graaf, Cornelis S. L. de
;
Kandhai, Drona
;
Sloot, Peter M. A.
- In:
The journal of computational finance
21
(
2017
)
1
,
pp. 83-113
Persistent link: https://www.econbiz.de/10011691615
Saved in:
10
Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations
Brigo, Damiano
;
Pallavicini, Andrea
;
Papatheodorou, …
- In:
International journal of theoretical and applied finance
14
(
2011
)
6
,
pp. 773-802
Persistent link: https://www.econbiz.de/10009381011
Saved in:
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