Tight Semi-model-free Bounds on (Bilateral) CVA

DOI10.1007/978-3-319-33446-2_4zbMath1398.91643OpenAlexW2559278772MaRDI QIDQ4689903

Ralf Werner, Jördis Helmers, Jan-Joachim Rückmann

Publication date: 22 October 2018

Published in: Innovations in Derivatives Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-33446-2_4

zbMATH Keywords

mass transportation problemcounterparty credit riskCVAtight bounds

Mathematics Subject Classification ID

Linear programming (90C05) Credit risk (91G40)

Cites Work

• A faster polynomial algorithm for the unbalanced Hitchcock transportation problem
• EXTREMAL DEPENDENCE FOR BILATERAL CREDIT VALUATION ADJUSTMENTS
• ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS
• COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
• ARBITRAGE‐FREE BILATERAL COUNTERPARTY RISK VALUATION UNDER COLLATERALIZATION AND APPLICATION TO CREDIT DEFAULT SWAPS
• Counterparty Credit Risk, Collateral and Funding
• Credit risk: Modelling, valuation and hedging
• Unnamed Item

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