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Search: subject:"Credit Value Adjustment"
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Subject
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Credit risk
26
Kreditrisiko
25
Theorie
19
Theory
19
Credit value adjustment
13
credit value adjustment
13
Derivat
12
Derivative
12
Credit Value Adjustment
11
Counterparty credit risk
10
credit value adjustment (CVA)
9
Credit derivative
7
Financial services
7
Finanzdienstleistung
7
Kreditderivat
7
Option pricing theory
7
Optionspreistheorie
7
Risikomanagement
6
Risk management
5
Stochastic process
5
Stochastischer Prozess
5
Swap
5
collateralization
5
counterparty risk
5
Basel III
4
Collateral
4
Credit rating
4
Kreditsicherung
4
Kreditwürdigkeit
4
credit risk modeling
4
margin and netting
4
wrong way risk
4
Basel Accord
3
Basler Akkord
3
CVA
3
Credit
3
EU countries
3
EU-Staaten
3
Insolvency
3
Insolvenz
3
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Undetermined
24
Free
16
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Article
38
Book / Working Paper
14
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Article in journal
30
Aufsatz in Zeitschrift
30
Graue Literatur
2
Non-commercial literature
2
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2
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1
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1
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Language
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English
34
Undetermined
17
German
1
Author
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Xiao, Tim
5
Bao, Qunfang
4
Chen, Si
4
Ghamami, Samim
4
Li, Shenghong
4
Antonelli, Fabio
3
Belitsky, Vladimir
2
Chen, Wei
2
Kimura, Herbert
2
Li, Le
2
Liu, Guimei
2
Pang, Tao
2
Ramponi, Alessandro
2
Scarlatti, Sergio
2
Sobreiro, Vinicius Amorim
2
ANDERLUH, J. H. M.
1
Alòs, Elisa
1
Anderluh, J. H. M.
1
Arismendi Zambrano, Juan Carlos
1
Arismendi-Zambrano, J. C.
1
Ballotta, Laura
1
Baviera, Roberto
1
Bianchi, Michele Leonardo
1
Bua, Gaetano La
1
Carr, Peter
1
DURAND, CYRIL
1
Durand, Cyril
1
FREY, RÜDIGER
1
Fabozzi, Frank J.
1
Feng, Runhuan
1
Feng, Yaqin
1
Freon, Helene
1
Frey, Rüdiger
1
Fusai, Gianluca
1
Gatarek, Dariusz
1
Genest, Benoit
1
Goldberg, Lisa R.
1
Goudenège, Ludovic
1
Hannah, Lincoln
1
Hao, Xuemiao
1
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Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
7
Federal Reserve Board (Board of Governors of the Federal Reserve System)
3
Published in...
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International journal of theoretical and applied finance
8
MPRA Paper
7
International Journal of Theoretical and Applied Finance (IJTAF)
5
Finance and Economics Discussion Series
3
Computational management science
2
European journal of operational research : EJOR
2
Annual review of financial economics
1
Applied mathematical finance
1
Die Bank
1
Economic Modelling
1
Economic modelling
1
Global economic review
1
Insurance / Mathematics & economics
1
Insurance: Mathematics and Economics
1
International journal of financial engineering
1
Journal of financial engineering
1
Journal of financial stability
1
Journal of mathematical finance
1
Journal of risk
1
Journal of risk management in financial institutions
1
Prague economic papers : a bimonthly journal of economic theory and policy
1
Research in international business and finance
1
Review of derivatives research
1
The Journal of Fixed Income
1
The North American journal of economics and finance : a journal of financial economics studies
1
The journal of credit risk : published quarterly by Incisive Media
1
The journal of risk model validation
1
Working papers / Department of Economics, Finance and Accounting, NUI Maynooth
1
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Source
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ECONIS (ZBW)
32
RePEc
17
EconStor
3
Showing
1
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10
of
52
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date (oldest first)
1
Wrong way risk corrections to CVA in CIR reduced-form models
Antonelli, Fabio
;
Ramponi, Alessandro
;
Scarlatti, Sergio
- In:
Computational management science
20
(
2023
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10014393427
Saved in:
2
The implications of tail dependency measures for counterparty credit risk pricing
Arismendi-Zambrano, J. C.
;
Belitsky, Vladimir
; …
-
2020
Persistent link: https://www.econbiz.de/10013168999
Saved in:
3
Approximate value adjustments for European claims
Antonelli, Fabio
;
Ramponi, Alessandro
;
Scarlatti, Sergio
- In:
European journal of operational research : EJOR
300
(
2022
)
3
,
pp. 1149-1161
Persistent link: https://www.econbiz.de/10013207329
Saved in:
4
The implications of dependence, tail dependence, and bounds' measures for counterparty credit risk pricing
Arismendi Zambrano, Juan Carlos
;
Belitsky, Vladimir
; …
- In:
Journal of financial stability
58
(
2022
),
pp. 1-29
Persistent link: https://www.econbiz.de/10013417464
Saved in:
5
The Valuation of Financial Derivatives Subject to Counterparty Risk and
Credit
Value
Adjustment
Xiao, Tim
-
2019
value
adjustment
(CVA) is also elaborated. A practical framework is developed for pricing defaultable derivatives and … emphasize that the market value of a defaultable derivative is actually a risky value rather than a risk-free value.
Credit
…
Persistent link: https://www.econbiz.de/10012100406
Saved in:
6
The valuation of financial derivatives subject to counterparty risk and
credit
value
adjustment
Xiao, Tim
-
2019
value
adjustment
(CVA) is also elaborated. A practical framework is developed for pricing defaultable derivatives and … emphasize that the market value of a defaultable derivative is actually a risky value rather than a risk-free value.
Credit
…
Persistent link: https://www.econbiz.de/10012105906
Saved in:
7
CVA and vulnerable options in Stochastic volatility models
Alòs, Elisa
;
Antonelli, Fabio
;
Ramponi, A.
;
Scarlatti, S.
- In:
International journal of theoretical and applied finance
24
(
2021
)
2
,
pp. 1-34
Persistent link: https://www.econbiz.de/10012650293
Saved in:
8
The Valuation of Interest Rate Swap with Bilateral Counterparty Risk
Xiao, Tim
-
2017
the credit asymmetry on swap value,
credit
value
adjustment
, swap rate and swap spread. …
Persistent link: https://www.econbiz.de/10012061521
Saved in:
9
Computing credit valuation adjustment solving coupled PIDEs in the Bates model
Goudenège, Ludovic
;
Molent, Andrea
;
Zanette, Antonino
- In:
Computational management science
17
(
2020
)
2
,
pp. 163-178
Persistent link: https://www.econbiz.de/10012272056
Saved in:
10
An Accurate Solution for Credit Valuation Adjustment (CVA) and Wrong Way Risk
Xiao, Tim
- In:
The Journal of Fixed Income
25
(
2015
)
1
,
pp. 84-95
This paper presents a Least Square Monte Carlo approach for accurately calculating
credit
value
adjustment
(CVA). In …
Persistent link: https://www.econbiz.de/10012016780
Saved in:
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