Simulation/Regression Pricing Schemes for CVA Computations on CDO Tranches

DOI10.1080/03610926.2013.809111zbMath1290.91178OpenAlexW3122086254MaRDI QIDQ5419656

Stéphane Crépey, Abdallh Rahal

Publication date: 11 June 2014

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2013.809111

zbMATH Keywords

Monte Carlo simulationcontinuous-time Markov chainsregressioncredit derivativesCDOcounterparty riskCVA

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Numerical analysis or methods applied to Markov chains (65C40) Credit risk (91G40)

Related Items (2)

Dynamic hedging of portfolio credit risk in a Markov copula model ⋮ XVA PRINCIPLES, NESTED MONTE CARLO STRATEGIES, AND GPU OPTIMIZATIONS

Cites Work

• Study of dependence for some stochastic processes: symbolic Markov copulae
• Modelling, pricing, and hedging counterparty credit exposure. A technical guide
• A quantization algorithm for solving multidimensional discrete-time optimal stopping problems
• A distribution-free theory of nonparametric regression
• On the Malliavin approach to Monte Carlo approximation of conditional expectations
• Up and down credit risk
• Study of Dependence for Some Stochastic Processes
• PARTICLE METHODS FOR THE ESTIMATION OF CREDIT PORTFOLIO LOSS DISTRIBUTIONS
• Valuing American Options by Simulation: A Simple Least-Squares Approach

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