BOUNDING WRONG‐WAY RISK IN CVA CALCULATION

DOI10.1111/mafi.12141zbMath1403.91362OpenAlexW3125761496MaRDI QIDQ4635042

Linan Yang, Paul Glasserman

Publication date: 13 April 2018

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12141

zbMATH Keywords

robustnesscredit valuation adjustmentcounterparty credit riskI-projectioniterative proportional fitting process (IPFP)

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Credit risk (91G40)

Related Items (10)

Frameworks and results in distributionally robust optimization ⋮ Wrong way risk corrections to CVA in CIR reduced-form models ⋮ Bounds on Choquet risk measures in finite product spaces with ambiguous marginals ⋮ A Risk-Sharing Framework of Bilateral Contracts ⋮ COMPUTING CREDIT VALUATION ADJUSTMENT FOR BERMUDAN OPTIONS WITH WRONG WAY RISK ⋮ Optimization-Based Calibration of Simulation Input Models ⋮ CVA and vulnerable options pricing by correlation expansions ⋮ Robust Actuarial Risk Analysis ⋮ Robust Analysis in Stochastic Simulation: Computation and Performance Guarantees ⋮ EXTREMAL DEPENDENCE FOR BILATERAL CREDIT VALUATION ADJUSTMENTS

Cites Work

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• Counterparty Credit Risk, Collateral and Funding
• Contingency tables with given marginals
• Robustness

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