Efficient wrong-way risk modeling for funding valuation adjustments

DOI10.1142/S0219024924500109MaRDI QIDQ6633868

Lech A. Grzelak, C. W. Oosterlee, Thomas van der Zwaard

Publication date: 6 November 2024

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

zbMATH Keywords

risk managementGaussian approximationcomputational financefunding valuation adjustment (FVA)wrong-way risk (WWR)

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Interest rate models -- theory and practice. With smile, inflation and credit
• Sparse grid method for highly efficient computation of exposures for xVA
• A computational approach to hedging credit valuation adjustment in a jump-diffusion setting
• ARBITRAGE-FREE VALUATION OF BILATERAL COUNTERPARTY RISK FOR INTEREST-RATE PRODUCTS: IMPACT OF VOLATILITIES AND CORRELATIONS
• A novel Monte Carlo approach to hybrid local volatility models
• BOUNDING WRONG‐WAY RISK IN CVA CALCULATION
• Mathematical Modeling and Computation in Finance

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