Bilateral credit valuation adjustment for large credit derivatives portfolios
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Publication:468421
DOI10.1007/s00780-013-0217-4zbMath1306.91145arXiv1305.5575OpenAlexW3123791899MaRDI QIDQ468421
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
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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