EXTREMAL DEPENDENCE FOR BILATERAL CREDIT VALUATION ADJUSTMENTS

DOI10.1142/S0219024916500424zbMath1396.91793MaRDI QIDQ2836220

Thorsten Schulz, Matthias Scherer

Publication date: 8 December 2016

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

model riskcounterparty credit riskmass-transportationwrong way riskcredit valuation adjustments

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Credit risk (91G40)

Related Items (1)

Tight Semi-model-free Bounds on (Bilateral) CVA

Cites Work

• Extensions and special cases of transportation problem: A survey
• ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS
• COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
• BOUNDING WRONG‐WAY RISK IN CVA CALCULATION
• VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL
• ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS
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