Bilateral credit valuation adjustment for large credit derivatives portfolios

DOI10.1007/s00780-013-0217-4zbMath1306.91145arXiv1305.5575OpenAlexW3123791899MaRDI QIDQ468421

Agostino Capponi, Li Jun Bo

Publication date: 7 November 2014

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

Full work available at URL: https://arxiv.org/abs/1305.5575

zbMATH Keywords

weak convergencecredit default swapscredit valuation adjustmentdoubly stochastic processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (15)

Pricing derivatives with counterparty risk and collateralization: a fixed point approach ⋮ Systemic Risk and Default Clustering for Large Financial Systems ⋮ Calculation of credit valuation adjustment based on least square Monte Carlo methods ⋮ Markov chain approximation and measure change for time-inhomogeneous stochastic processes ⋮ Valuation of kth-to-default credit-linked notes with counterparty risk in a reduced-form model ⋮ Network Effects in Default Clustering for Large Systems ⋮ The pricing of basket options: a weak convergence approach ⋮ Funding, repo and credit inclusive valuation as modified option pricing ⋮ Short Communication: Dynamic Default Contagion in Heterogeneous Interbank Systems ⋮ The valuation of multi-counterparties CDS with credit rating migration ⋮ Dynamic contagion in a banking system with births and defaults ⋮ xVA: DEFINITION, EVALUATION AND RISK MANAGEMENT ⋮ A Dynamic Network Model of Interbank Lending—Systemic Risk and Liquidity Provisioning ⋮ Systemic Risk in Interbanking Networks ⋮ Dynamic analysis of counterparty exposures and netting efficiency of central counterparty clearing

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