Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures

DOI10.1016/j.ejor.2018.03.015zbMath1390.91312OpenAlexW2791432312WikidataQ130098597 ScholiaQ130098597MaRDI QIDQ1749526

Frédéric Vrins, Damiano Brigo

Publication date: 17 May 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2018.03.015

zbMATH Keywords

counterparty riskcredit valuation adjustmentwrong-way riskdrift adjustment

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (13)

A SUBORDINATED CIR INTENSITY MODEL WITH APPLICATION TO WRONG-WAY RISK CVA ⋮ Wrong way risk corrections to CVA in CIR reduced-form models ⋮ WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS ⋮ Extending the Merton model with applications to credit value adjustment ⋮ Randomization and the valuation of guaranteed minimum death benefits ⋮ CVA in fractional and rough volatility models ⋮ CVA and vulnerable options pricing by correlation expansions ⋮ Integrated structural approach to credit value adjustment ⋮ Analytical valuation of vulnerable European and Asian options in intensity-based models ⋮ CDS pricing with fractional Hawkes processes ⋮ CVA AND VULNERABLE OPTIONS IN STOCHASTIC VOLATILITY MODELS ⋮ On a convergent power series method to price defaultable bonds in a Vašíček-CIR model ⋮ Approximate value adjustments for European claims

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