Integrated structural approach to credit value adjustment

DOI10.1016/j.ejor.2018.07.026zbMath1403.91383OpenAlexW2884805384MaRDI QIDQ1991244

Daniele Marazzina, Gianluca Fusai, Laura Ballotta

Publication date: 30 October 2018

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

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/20104/1/Integrated%20structural%20approach%20to%20Credit%20Value%20Adjustment.pdf

zbMATH Keywords

collateralfinanceinitial margincredit value adjustmentnetting

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Credit risk (91G40)

Related Items (6)

Fourier based methods for the management of complex life insurance products ⋮ Towards a \(\Delta\)-Gamma Sato multivariate model ⋮ Wrong way risk corrections to CVA in CIR reduced-form models ⋮ A Unified Approach to xVA with CSA Discounting and Initial Margin ⋮ CDS pricing with fractional Hawkes processes ⋮ Smiles \& smirks: volatility and leverage by jumps

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