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Counterparty credit exposures for interest rate derivatives using the stochastic grid bundling method

Karlsson, Patrik; Jain, Shashi; Oosterlee, Cornelis … - In: Applied mathematical finance 23 (2016) 3/4, pp. 175-196

Persistent link: https://www.econbiz.de/10011704227

Efficient computation of exposure profiles on real-world and risk-neutral scenarios for Bermudan swaptions

Feng, Qian; Jain, Shashi; Karlsson, Patrik; Kandhai, Drona - In: The journal of computational finance 20 (2016) 1, pp. 139-172

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Computing credit valuation adjustment for Bermudan options with wrong way risk

Feng, Qian; Oosterlee, Cornelis Willebrordus - In: International journal of theoretical and applied finance 20 (2017) 8, pp. 1-31

Persistent link: https://www.econbiz.de/10011787454

Counterparty Credit Exposures for Interest Rate Derivatives Using the Stochastic Grid Bundling Method

Karlsson, Patrik - 2016

The regulatory credit value adjustment (CVA) for an outstanding over-the-counter (OTC) derivative portfolio, is computed based on the portfolio exposure over its lifetime. Usually the future portfolio exposure is approximated using Monte Carlo simulation, as the portfolio value can be driven by...

Persistent link: https://www.econbiz.de/10013005550

Pricing and hedging prepayment risk in a mortgage portfolio

Casamassima, Emanuele; Grzelak, Lech A.; Mulder, Frank A.; … - In: International journal of theoretical and applied … 25 (2022) 4/5, pp. 1-37

Persistent link: https://www.econbiz.de/10013371214