CVA UNDER ALTERNATIVE SETTLEMENT CONVENTIONS AND WITH SYSTEMIC RISK

DOI10.1142/S0219024913500398zbMath1284.91560arXiv1307.6486MaRDI QIDQ5746926

Cyril Durand, Marek Rutkowski

Publication date: 11 February 2014

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

Full work available at URL: https://arxiv.org/abs/1307.6486

zbMATH Keywords

credit risksystemic riskcredit value adjustment

Mathematics Subject Classification ID

Credit risk (91G40)

Related Items (1)

Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures

Cites Work

• Collateralized borrowing and increasing risk
• DANGEROUS KNOWLEDGE: CREDIT VALUE ADJUSTMENT WITH CREDIT TRIGGERS
• COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
• COUNTERPARTY RISK PRICING: IMPACT OF CLOSEOUT AND FIRST-TO-DEFAULT TIMES
• VALUATION AND HEDGING OF CDS COUNTERPARTY EXPOSURE IN A MARKOV COPULA MODEL
• A General Formula for Valuing Defaultable Securities

This page was built for publication: CVA UNDER ALTERNATIVE SETTLEMENT CONVENTIONS AND WITH SYSTEMIC RISK