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

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Basel I to Basel III : impact of credit risk and interest rate risk of banks in India

Rizvi, Noor Ulain; Kashiramka, Smita; Shveta Singh - In: Journal of emerging market finance 17 (2018), pp. 83-111

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Credit risk : the Achilles' heel of higher capital under Basel norms

Rizvi, Noor Ulain; Kashiramka, Smita; Shveta Singh - In: The IUP journal of applied economics 19 (2020) 2, pp. 35-56

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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

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

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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

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