EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"Credit value adjustment"
Narrow search

Narrow search

Year of publication
Subject
All
Credit Value Adjustment 6 credit risk modeling 4 credit value adjustment (CVA) 4 margin and netting 4 Basel III 3 Credit risk 3 Derivat 3 Derivative 3 Kreditrisiko 3 collateralization 3 credit value adjustment 3 Affine Specification 2 Contagion Model 2 Credit value adjustment 2 Risikomanagement 2 Risikomaß 2 Risk management 2 Risk measure 2 Stochastic Intensities and Interest 2 Survival Measure 2 Theorie 2 Theory 2 counterparty credit risk 2 default probability approach (DPA) 2 default time approach (DTA) 2 financial derivative valuation 2 right way risk 2 wrong way risk 2 Basel II 1 Black model 1 CDX NA IG index tranches 1 CSA Discounting 1 CVA 1 Cheapest-to-deliver collateral 1 Collateral Arbitrage 1 Collateral Management 1 Collateral Optimization 1 Collateral Transformation 1 Counterparty Credit Risk 1 Counterparty Risk 1
more ... less ...
Online availability
All
Free 16
Type of publication
All
Book / Working Paper 14 Article 2
Type of publication (narrower categories)
All
Graue Literatur 2 Non-commercial literature 2 Working Paper 2 Article 1 Article in journal 1 Aufsatz in Zeitschrift 1
Language
All
Undetermined 10 English 6
Author
All
Xiao, Tim 5 Ghamami, Samim 3 Bao, Qunfang 2 Chen, Si 2 Li, Shenghong 2 Liu, Guimei 2 Antonelli, Fabio 1 Arismendi-Zambrano, J. C. 1 Belitsky, Vladimir 1 Freon, Helene 1 Genest, Benoit 1 Goldberg, Lisa R. 1 Hannah, Lincoln 1 Kimura, Herbert 1 Lee, Y. 1 Li, Hui 1 Ramponi, Alessandro 1 Rego, David 1 Scarlatti, Sergio 1 So, Leh-chyan 1 Sobreiro, Vinicius Amorim 1 Zhang, Bo 1
more ... less ...
Institution
All
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 7 Federal Reserve Board (Board of Governors of the Federal Reserve System) 3
Published in...
All
MPRA Paper 7 Finance and Economics Discussion Series 3 Computational management science 1 The Journal of Fixed Income 1 Working papers / Department of Economics, Finance and Accounting, NUI Maynooth 1
Source
All
RePEc 10 ECONIS (ZBW) 3 EconStor 3
Showing 1 - 10 of 16
Cover Image
Wrong way risk corrections to CVA in CIR reduced-form models
Antonelli, Fabio; Ramponi, Alessandro; Scarlatti, Sergio - In: Computational management science 20 (2023) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10014393427
Saved in:
Cover Image
The implications of tail dependency measures for counterparty credit risk pricing
Arismendi-Zambrano, J. C.; Belitsky, Vladimir; … - 2020
Persistent link: https://www.econbiz.de/10013168999
Saved in:
Cover Image
The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment
Xiao, Tim - 2019
value adjustment (CVA) is also elaborated. A practical framework is developed for pricing defaultable derivatives and … emphasize that the market value of a defaultable derivative is actually a risky value rather than a risk-free value. Credit …
Persistent link: https://www.econbiz.de/10012100406
Saved in:
Cover Image
The valuation of financial derivatives subject to counterparty risk and credit value adjustment
Xiao, Tim - 2019
value adjustment (CVA) is also elaborated. A practical framework is developed for pricing defaultable derivatives and … emphasize that the market value of a defaultable derivative is actually a risky value rather than a risk-free value. Credit …
Persistent link: https://www.econbiz.de/10012105906
Saved in:
Cover Image
The Valuation of Interest Rate Swap with Bilateral Counterparty Risk
Xiao, Tim - 2017
the credit asymmetry on swap value, credit value adjustment, swap rate and swap spread. …
Persistent link: https://www.econbiz.de/10012061521
Saved in:
Cover Image
An Accurate Solution for Credit Valuation Adjustment (CVA) and Wrong Way Risk
Xiao, Tim - In: The Journal of Fixed Income 25 (2015) 1, pp. 84-95
This paper presents a Least Square Monte Carlo approach for accurately calculating credit value adjustment (CVA). In …
Persistent link: https://www.econbiz.de/10012016780
Saved in:
Cover Image
Derivatives Pricing under Bilateral Counterparty Risk
Ghamami, Samim - Federal Reserve Board (Board of Governors of the … - 2015
of WWR on credit value adjustment (CVA), we derive calibration-implied formulas that enable us to mathematically compare …
Persistent link: https://www.econbiz.de/10011273698
Saved in:
Cover Image
Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement
Ghamami, Samim; Zhang, Bo - Federal Reserve Board (Board of Governors of the … - 2014
focusing on the most widely used and regulatory-driven CCR measures: expected positive exposure (EPE), credit value adjustment …
Persistent link: https://www.econbiz.de/10011119860
Saved in:
Cover Image
Stochastic Intensity Models of Wrong Way Risk: Wrong Way CVA Need Not Exceed Independent CVA
Ghamami, Samim; Goldberg, Lisa R. - Federal Reserve Board (Board of Governors of the … - 2014
Wrong way risk can be incorporated in Credit Value Adjustment (CVA) calculations in a reduced form model. Hull and …
Persistent link: https://www.econbiz.de/10010886220
Saved in:
Cover Image
Funding Cost and a New Capital Model
Hannah, Lincoln - Volkswirtschaftliche Fakultät, … - 2013
In asset and derivative pricing, funding costs and capital costs are usually considered separately. A derivative will be funded at a given rate such as OIS, LIBOR or the bank’s cost of borrowing, and a cost of capital will be added separately. This paper presents a model that combines the two,...
Persistent link: https://www.econbiz.de/10011258119
Saved in:
  • 1
  • 2
  • Next
  • Last
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...