Bilateral credit valuation adjustment for large credit derivatives portfolios
type: Item
instance of: scholarly article
title: Bilateral credit valuation adjustment for large credit derivatives portfolios
zbMATH Open document ID: 1306.91145
author: Agostino Capponi
author: Lijun Bo
published in: Finance and Stochastics
publication date: 2014-11-07T00:00:00Z
full work available at URL: https://arxiv.org/abs/1305.5575
review text: The authors obtain an explicit formula for the bilateral counterparty valuation adjustment of a credit default swaps portfolio referencing an asymptotically large number of entities. The key innovation in their approach is a fully explicit characterization of the asymptotic portfolio exposure which allows them to obtain an explicit representation of the bilateral credit valuation adjustment. They employ the heavy weak convergence machinery for martingale problems related to measure-valued processes driven by jump-diffusion type processes.
reviewed by: Anatoliy Swishchuk
Mathematics Subject Classification ID: 91G40
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 91G20
zbMATH DE Number: 6366555
zbMATH Keywords: credit valuation adjustment
zbMATH Keywords: weak convergence
zbMATH Keywords: doubly stochastic processes
zbMATH Keywords: credit default swaps
MaRDI profile type: Publication
OpenAlex ID: W3123791899
arXiv ID: 1305.5575
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DOI: 10.1007/S00780-013-0217-4
description: scientific article; zbMATH DE number 6366555