Wrong way risk corrections to CVA in CIR reduced-form models

DOI10.1007/s10287-023-00480-0OpenAlexW4387667715MaRDI QIDQ6060556

Sergio Scarlatti, Alessandro Ramponi, Fabio Antonelli

Publication date: 3 November 2023

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-023-00480-0

zbMATH Keywords

counterparty credit riskcredit value adjustmentvulnerable optionswrong way risk

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites Work

• Unnamed Item
• On Cox processes and credit risky securities
• Approximating the Riemann-Stieltjes integral by a trapezoidal quadrature rule with applications
• Pricing options under stochastic volatility: a power series approach
• Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures
• Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model
• Integrated structural approach to credit value adjustment
• Approximate value adjustments for European claims
• Computing credit valuation adjustment solving coupled PIDEs in the Bates model
• CVA and vulnerable options pricing by correlation expansions
• Affine diffusions and related processes: simulation, theory and applications
• On the Heston Model with Stochastic Interest Rates
• COMPUTING CREDIT VALUATION ADJUSTMENT FOR BERMUDAN OPTIONS WITH WRONG WAY RISK
• BOUNDING WRONG‐WAY RISK IN CVA CALCULATION
• CVA AND VULNERABLE OPTIONS IN STOCHASTIC VOLATILITY MODELS
• A comparison of biased simulation schemes for stochastic volatility models
• Counterparty Credit Risk, Collateral and Funding
• Credit risk: Modelling, valuation and hedging

This page was built for publication: Wrong way risk corrections to CVA in CIR reduced-form models