CVA AND FVA TO DERIVATIVES TRADES COLLATERALIZED BY CASH

DOI10.1142/S0219024915500351zbMath1337.91126arXiv1302.0465OpenAlexW3125754741MaRDI QIDQ2947349

Lixin Wu

Publication date: 22 September 2015

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

Full work available at URL: https://arxiv.org/abs/1302.0465

zbMATH Keywords

partial differential equationcredit valuation adjustmentcounterparty default riskfunding valuation adjustment

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Credit risk (91G40)

Related Items (6)

Binary funding impacts in derivative valuation ⋮ Generalized BSDE and reflected BSDE with random time horizon ⋮ A Risk-Sharing Framework of Bilateral Contracts ⋮ Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures ⋮ Integrated structural approach to credit value adjustment ⋮ xVA: DEFINITION, EVALUATION AND RISK MANAGEMENT

Cites Work

• COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
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