WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS

DOI10.1142/S0219024917500455zbMath1415.91303OpenAlexW2758035245MaRDI QIDQ4595298

Frédéric Vrins

Publication date: 29 November 2017

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

Full work available at URL: https://doi.org/10.1142/s0219024917500455

zbMATH Keywords

intensity modelswrong-way riskcounterparty credit risk

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Martingales with continuous parameter (60G44) Credit risk (91G40)

Related Items (3)

A SUBORDINATED CIR INTENSITY MODEL WITH APPLICATION TO WRONG-WAY RISK CVA ⋮ Affine term structure models: A time‐change approach with perfect fit to market curves ⋮ Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures

Cites Work

• Counterparty risk and funding: immersion and beyond
• On Cox processes and credit risky securities
• Valuation of portfolio credit derivatives with default intensities using the Vasicek model
• Interest rate models -- theory and practice. With smile, inflation and credit
• Modelling, pricing, and hedging counterparty credit exposure. A technical guide
• Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures
• Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
• Stochastic calculus for finance. II: Continuous-time models.
• Time-changed CIR default intensities with two-sided mean-reverting jumps
• COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
• Invariance Properties in the Dynamic Gaussian Copula Model
• DYNAMIC DEFAULTABLE TERM STRUCTURE MODELING BEYOND THE INTENSITY PARADIGM
• Conic martingales from stochastic integrals
• BILATERAL COUNTERPARTY RISK UNDER FUNDING CONSTRAINTS—PART II: CVA
• An Antithetic Approach of Multilevel Richardson-Romberg Extrapolation Estimator for Multidimensional SDES
• PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK
• INFORMATIONALLY DYNAMIZED GAUSSIAN COPULA
• ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS
• Counterparty Credit Risk, Collateral and Funding
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: WRONG-WAY RISK CVA MODELS WITH ANALYTICAL EPE PROFILES UNDER GAUSSIAN EXPOSURE DYNAMICS