CVA with Wrong-Way Risk in the Presence of Early Exercise

DOI10.1007/978-3-319-33446-2_5zbMath1398.91563OpenAlexW2558482324MaRDI QIDQ4689905

Paolo Pellicioli, Gaetano La Bua, Roberto Baviera

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_5

zbMATH Keywords

wrong-way riskAmerican and Bermudan optionscredit value adjustment

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement ⋮ A deep learning approach for computations of exposure profiles for high-dimensional Bermudan options ⋮ Deep learning for CVA computations of large portfolios of financial derivatives

Cites Work

• Interest rate models -- theory and practice. With smile, inflation and credit
• Evaluation of counterparty risk for derivatives with early-exercise features
• A Note on Dual-Curve Construction: Mr. Crab’s Bootstrap
• Counterparty Credit Risk, Collateral and Funding

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