Büchel, Patrick; Kratochwil, Michael; Rösch, Daniel - In: Review of Derivatives Research 23 (2020) 3, pp. 273-322
Considering counterparty credit risk (CCR) for derivatives using valuation adjustments (CVA) is a fundamental and challenging task for entities involved in derivative trading activities. Particularly calculating the expected exposure is time consuming and complex. This paper suggests a fast and...