Search Results - subject:"debit valuation adjustment"

Bilaterales Credit Valuation Adjustment, Offenlegungsanforderungen nach IFRS 13 und Asset Quality Review : ein Fallbeispiel zum bilateralen Credit Valuation Adjustment

Khakzad, Farhad; Sundri, Sahil - In: IRZ : Zeitschrift für internationale Rechnungslegung 9 (2014) 7/8, pp. 301-307

Persistent link: https://www.econbiz.de/10010390953

COUNTERPARTY RISK PRICING: IMPACT OF CLOSEOUT AND FIRST-TO-DEFAULT TIMES

BRIGO, DAMIANO; BUESCU, CRISTIN; MORINI, MASSIMO - In: International Journal of Theoretical and Applied … 15 (2012) 06, pp. 1250039-1

In the absence of a universally accepted procedure for the credit valuation adjustment (CVA) calculation, we compare a number of different bilateral counterparty valuation adjustment (BVA) formulas. First we investigate the impact of the choice of the closeout convention used in the formulas....

Persistent link: https://www.econbiz.de/10010575476

Counterparty risk pricing : impact of closeout and first-to-default times

Brigo, Damiano; Buescu, Cristin; Morini, Massimo - In: International journal of theoretical and applied finance 15 (2012) 6, pp. 1-23

Persistent link: https://www.econbiz.de/10009672601