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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

Persistent link: https://www.econbiz.de/10011639641

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

A static replication approach for callable interest rate derivatives : mathematical foundations and efficient estimation of SIMM-MVA

Hoencamp, J. H.; Jain, Surbhi; Kandhai, B. D. - In: Quantitative finance 24 (2024) 3/4, pp. 409-432

Persistent link: https://www.econbiz.de/10014552078

Bank competition, risk-taking and financial stability : insights from an emerging economy

Srivastava, Bhavya; Shveta Singh; Jain, Sonali - In: Competitiveness review : CR 33 (2023) 5, pp. 959-992

Persistent link: https://www.econbiz.de/10014334386

Wrong Way Risk Modeling and Computation in Credit Valuation Adjustment for European and Bermudan Options

Feng, Qian - 2016

We study the impact of wrong-way-risk (WWR) on credit valuation adjustment (CVA) for European and Bermudan options, based on an intensity model. WWR is modeled by a dependency between the underlying asset and the intensity of the counterparty's default. We consider three different models. We...

Persistent link: https://www.econbiz.de/10012981149

Fast valuation and calibration of credit default swaps under Lévy dynamics

Fang, Fang; Jönsson, Henrik; Oosterlee, Cornelis W.; … - In: The journal of computational finance 14 (2010/11) 2, pp. 57-86

Persistent link: https://www.econbiz.de/10008810136

Generalized beta regression models for random loss given default

Huang, Xinzheng; Oosterlee, Cornelis W. - In: The journal of credit risk : published quarterly by … 7 (2011/12) 1, pp. 45-70

Persistent link: https://www.econbiz.de/10009424789

Higher-order saddlepoint approximations in the Vasicek portfolio credit loss model

Huang, Xinzheng; Oosterlee, Cornelis W.; Weide, Hans van der - In: The journal of computational finance 11 (2007/08) 1, pp. 93-113

Persistent link: https://www.econbiz.de/10003643434

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