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Search: subject:"Valuation adjustment"
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Credit risk
40
Kreditrisiko
40
Derivat
27
Derivative
27
credit valuation adjustment
26
Theorie
24
Theory
24
Counterparty risk
17
Credit valuation adjustment
15
Option pricing theory
15
Optionspreistheorie
15
Financial services
14
Finanzdienstleistung
14
credit valuation adjustment (CVA)
12
Risikomanagement
11
Risk management
11
Swap
10
Credit Valuation Adjustment
9
Credit derivative
8
Kreditderivat
8
counterparty credit risk
8
counterparty risk
8
default correlation
8
Collateral
6
Credit default swaps
6
Kreditsicherung
6
CVA
5
Exchange rate regime
5
Firm valuation
5
Interest rate derivative
5
Monte Carlo simulation
5
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5
Multivariate Verteilung
5
Multivariate distribution
5
Portfolio selection
5
Portfolio-Management
5
Stochastic process
5
Stochastischer Prozess
5
Unternehmensbewertung
5
Zinsderivat
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44
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28
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70
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22
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10
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7
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69
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22
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2
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Crépey, Stéphane
8
Brigo, Damiano
7
BRIGO, DAMIANO
5
Capponi, Agostino
4
Dong, Yinghui
4
Pallavicini, Andrea
4
Fuertes, Alberto
3
Macek, Petr
3
Oosterlee, Cornelis Willebrordus
3
Pramor, Marcus
3
Wang, Guojing
3
Witzany, Jiří
3
Abbas-Turki, Lokman A.
2
Albanese, Claudio
2
Baldeaux, Jan
2
Bo, Lijun
2
Breton, Michèle
2
Chataigner, Marc
2
Feng, Qian
2
Fuertes Mendoza, Alberto
2
Kandhai, Drona
2
Marzouk, Oussama
2
Offermanns, Christian J.
2
PALLAVICINI, ANDREA
2
PAPATHEODOROU, VASILEIOS
2
Papatheodorou, Vasileios
2
Platen, Eckhard
2
Saadeddine, Bouazza
2
Teplý, Petr
2
Viljanen, Mika Veli-Pekka
2
Wu, Lixin
2
Zhou, Richard
2
Černý, Jakub
2
ALBANESE, CLAUDIO
1
Adachi, Tetsuya
1
Andersen, Leif
1
BIELECKI, TOMASZ R.
1
BUESCU, CRISTIN
1
Belak, Christoph
1
Bi, Xiao Gang
1
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
4
Center for Financial Studies
3
Institut ekonomických studií, Univerzita Karlova v Praze
2
Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
1
Finance Discipline Group, Business School
1
Published in...
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International journal of theoretical and applied finance
11
International Journal of Theoretical and Applied Finance (IJTAF)
8
The journal of computational finance
6
The journal of credit risk : published quarterly by Incisive Media
5
MPRA Paper
4
CFS Working Paper Series
3
Journal of risk
3
Documentos de trabajo / Banco de España
2
European journal of operational research : EJOR
2
IES Working Paper
2
IES working paper
2
Journal of risk management in financial institutions
2
Mathematical finance : an international journal of mathematics, statistics and financial economics
2
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
Working Papers IES
2
Asia-Pacific Financial Markets
1
Asia-Pacific financial markets
1
Asia-Pacific journal of accounting & economics : publication of the City University of Hong Kong and National Taiwan University
1
CFS Working Paper
1
Corporate information in a macro-economic context
1
Documentos de Trabajo del ICAE
1
Economic Modelling
1
Economic modelling
1
Empirical economics : a quarterly journal of the Institute for Advanced Studies
1
Finance and Stochastics
1
Finance and stochastics
1
Finance research letters
1
Handbuch Solvabilität : aufsichtliche Kapitalanforderungen an Kreditinstitute
1
IMES discussion paper series / Englische Ausgabe
1
IRZ : Zeitschrift für internationale Rechnungslegung
1
International Journal of Financial Research
1
International journal of financial engineering
1
Journal of Financial Regulation and Compliance
1
Journal of accounting, auditing & finance : JAAF
1
Journal of economic dynamics & control
1
Journal of financial engineering
1
Journal of financial regulation and compliance : an international journal
1
Journal of securities operations & custody
1
Politická ekonomie : teorie, modelování, aplikace
1
Quantitative finance
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ECONIS (ZBW)
62
RePEc
24
EconStor
5
BASE
2
Other ZBW resources
1
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94
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1
xVA : definition, evaluation and risk management
Wu, Lixin
;
Zhang, Dawei
- In:
International journal of theoretical and applied finance
23
(
2020
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10012270895
Saved in:
2
Optimální způsob sjednání derivátu za přítomnosti rizika protistrany
Šedivý, Jan
- In:
Politická ekonomie : teorie, modelování, aplikace
67
(
2019
)
1
,
pp. 65-81
Persistent link: https://www.econbiz.de/10012001188
Saved in:
3
Pathwise CVA regressions with oversimulated defaults
Abbas-Turki, Lokman A.
;
Crépey, Stéphane
;
Saadeddine, …
- In:
Mathematical finance : an international journal of …
33
(
2023
)
2
,
pp. 274-307
Persistent link: https://www.econbiz.de/10014278670
Saved in:
4
Banks' discretion over the debt
valuation
adjustment
for own credit risk
Dong, Minyue
;
Doukakis, Leonidas
;
Ryan, Stephen G.
- In:
Journal of accounting, auditing & finance : JAAF
38
(
2023
)
2
,
pp. 302-330
Persistent link: https://www.econbiz.de/10014294242
Saved in:
5
Evaluating credit
valuation
adjustment
with wrong-way risk for Bermudan options
Dong, Bing
;
Xu, Wei
;
Wang, Guangguang
- In:
The journal of computational finance : JFC
27
(
2023
)
3
,
pp. 115-155
Persistent link: https://www.econbiz.de/10014487048
Saved in:
6
Emulating the Standard Initial Margin Model : initial margin forecasting with a stochastic cross-currency basis
Puetter, Christoph M.
;
Renzitti, Stefano
- In:
The journal of credit risk : published quarterly by …
19
(
2023
)
3
,
pp. 1-21
Persistent link: https://www.econbiz.de/10014489002
Saved in:
7
On Wasserstein distances, barycenters, and the cross-section methodology for proxy credit curves
Michielon, Matteo
;
Khedher, Asma
;
Spreij, Peter
- In:
International journal of financial engineering
10
(
2023
)
2
,
pp. 1-25
Persistent link: https://www.econbiz.de/10014304372
Saved in:
8
External adjustment with a common currency : the case of the euro area
Fuertes, Alberto
- In:
Empirical economics : a quarterly journal of the …
62
(
2022
)
5
,
pp. 2205-2238
Persistent link: https://www.econbiz.de/10013197289
Saved in:
9
Accounting conservatism and the fulfilment of the target's performance commitment in
valuation
adjustment
mechanism contracts
Zeng, Shiyun
;
Li, Wenfei
;
Tang, Qingquan
- In:
Asia-Pacific journal of accounting & economics : …
29
(
2022
)
6
,
pp. 1497-1517
Persistent link: https://www.econbiz.de/10013415531
Saved in:
10
Relevance of wrong-way risk in funding valuation adjustments
Zwaard, Thomas van der
;
Grzelak, Lech A.
;
Oosterlee, …
- In:
Finance research letters
49
(
2022
),
pp. 1-8
Persistent link: https://www.econbiz.de/10013478834
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