COUNTERPARTY RISK AND FUNDING: THE FOUR WINGS OF THE TVA

DOI10.1142/S0219024913500064zbMath1266.91115arXiv1210.5046MaRDI QIDQ5299992

Nathalie Ngor, Stéphane Crépey, Rémi Gerboud, Zorana Grbac

Publication date: 24 June 2013

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.5046

zbMATH Keywords

backward stochastic differential equation (BSDE)counterparty riskinterest rate swapcredit valuation adjustment (CVA)debt valuation adjustment (DVA)liquidity valuation adjustment (LVA)

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Credit risk (91G40) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (19)

A PRIMAL–DUAL ALGORITHM FOR BSDES ⋮ Counterparty risk and funding: immersion and beyond ⋮ Impact of multiple curve dynamics in credit valuation adjustments under collateralization ⋮ Calculation of credit valuation adjustment based on least square Monte Carlo methods ⋮ A Monte Carlo method for backward stochastic differential equations with Hermite martingales ⋮ Numerical methods for backward stochastic differential equations: a survey ⋮ Overcoming the curse of dimensionality in the approximative pricing of financial derivatives with default risks ⋮ A FORWARD EQUATION FOR COMPUTING DERIVATIVES EXPOSURE ⋮ A Lévy HJM multiple-curve model with application to CVA computation ⋮ Nonlinear Monte Carlo Schemes for Counterparty Risk on Credit Derivatives ⋮ Impact of Multiple-Curve Dynamics in Credit Valuation Adjustments ⋮ On existence and uniqueness properties for solutions of stochastic fixed point equations ⋮ Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA ⋮ Pathwise Dynamic Programming ⋮ On multilevel Picard numerical approximations for high-dimensional nonlinear parabolic partial differential equations and high-dimensional nonlinear backward stochastic differential equations ⋮ Machine learning approximation algorithms for high-dimensional fully nonlinear partial differential equations and second-order backward stochastic differential equations ⋮ Rational multi-curve models with counterparty-risk valuation adjustments ⋮ A NOTE ON THE SELF-FINANCING CONDITION FOR FUNDING, COLLATERAL AND DISCOUNTING ⋮ Algorithms for solving high dimensional PDEs: from nonlinear Monte Carlo to machine learning

Cites Work

• Martingale methods in financial modelling.
• Modelling, pricing, and hedging counterparty credit exposure. A technical guide
• A multiple-curve HJM model of interbank risk
• Backward Stochastic Differential Equations in Finance
• Counterparty Credit Risk, Collateral and Funding

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