Counterparty risk and funding: immersion and beyond

DOI10.1007/s00780-016-0305-3zbMath1380.91139OpenAlexW2289378561MaRDI QIDQ331358

Stéphane Crépey, Shiqi Song

Publication date: 27 October 2016

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-016-0305-3

zbMATH Keywords

collateralimmersioncredit derivativesBSDEcounterparts riskfundinggap riskmarked default timesMarshall-Olkin copulareduced-form credit modellingwrong-way risk

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Credit risk (91G40)

Related Items (17)

Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement ⋮ Impact of multiple curve dynamics in credit valuation adjustments under collateralization ⋮ XVA metrics for CCP optimization ⋮ Asymptotic expansion for forward-backward SDEs with jumps ⋮ WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS ⋮ Notes on backward stochastic differential equations for computing XVA ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ Generalized BSDE and reflected BSDE with random time horizon ⋮ Cross Currency Valuation and Hedging in the Multiple Curve Framework ⋮ Solving backward stochastic differential equations with quadratic-growth drivers by connecting the short-term expansions ⋮ XVA PRINCIPLES, NESTED MONTE CARLO STRATEGIES, AND GPU OPTIMIZATIONS ⋮ Nonlinear Monte Carlo Schemes for Counterparty Risk on Credit Derivatives ⋮ Credit, funding, margin, and capital valuation adjustments for bilateral portfolios ⋮ Arbitrage-free pricing of derivatives in nonlinear market models ⋮ Stochastic approximation schemes for economic capital and risk margin computations ⋮ XVA analysis from the balance sheet ⋮ Central Clearing Valuation Adjustment

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