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Search: subject:"credit valuation adjustment"
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Credit risk
38
Kreditrisiko
38
Derivat
26
Derivative
26
credit valuation adjustment
26
Theorie
19
Theory
19
Counterparty risk
16
Credit valuation adjustment
15
Financial services
13
Finanzdienstleistung
13
Option pricing theory
13
Optionspreistheorie
13
credit valuation adjustment (CVA)
12
Risikomanagement
10
Risk management
10
Swap
10
Credit Valuation Adjustment
9
Credit derivative
8
Kreditderivat
8
counterparty risk
8
default correlation
8
counterparty credit risk
7
Collateral
6
Credit default swaps
6
Kreditsicherung
6
CVA
5
Interest rate derivative
5
Multivariate Verteilung
5
Multivariate distribution
5
Zinsderivat
5
wrong-way risk
5
Counterparty Credit Risk
4
Counterparty Risk
4
Credit default swap
4
Credit rating
4
Kreditwürdigkeit
4
Portfolio selection
4
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4
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4
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19
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56
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English
47
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21
German
2
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1
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Brigo, Damiano
7
BRIGO, DAMIANO
5
Crépey, Stéphane
5
Capponi, Agostino
4
Dong, Yinghui
4
Pallavicini, Andrea
4
Macek, Petr
3
Wang, Guojing
3
Witzany, Jiří
3
Baldeaux, Jan
2
Bo, Lijun
2
Breton, Michèle
2
Chataigner, Marc
2
Feng, Qian
2
Kandhai, Drona
2
Marzouk, Oussama
2
Oosterlee, Cornelis Willebrordus
2
PALLAVICINI, ANDREA
2
PAPATHEODOROU, VASILEIOS
2
Papatheodorou, Vasileios
2
Platen, Eckhard
2
Teplý, Petr
2
Viljanen, Mika Veli-Pekka
2
Wu, Lixin
2
Zhou, Richard
2
Černý, Jakub
2
ALBANESE, CLAUDIO
1
Adachi, Tetsuya
1
Albanese, Claudio
1
Andersen, Leif
1
BIELECKI, TOMASZ R.
1
BUESCU, CRISTIN
1
Belak, Christoph
1
Bielecki, Tomasz R.
1
Boukhobza, Ali
1
Buescu, Cristin
1
CAPPONI, AGOSTINO
1
CHOURDAKIS, KYRIAKOS
1
CIALENCO, IGOR
1
CRÉPEY, STÉPHANE
1
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
4
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
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International journal of theoretical and applied finance
10
International Journal of Theoretical and Applied Finance (IJTAF)
8
The journal of computational finance
5
MPRA Paper
4
The journal of credit risk : published quarterly by Incisive Media
3
European journal of operational research : EJOR
2
IES Working Paper
2
IES working paper
2
Journal of risk
2
Journal of risk management in financial institutions
2
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
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1
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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 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
Mathematical finance : an international journal of mathematics, statistics and financial economics
1
Politická ekonomie : teorie, modelování, aplikace
1
Research Paper Series / Finance Discipline Group, Business School
1
Risks
1
Risks : open access journal
1
Statistics & Probability Letters
1
The journal of computational finance : JFC
1
The journal of financial market infrastructures
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ECONIS (ZBW)
45
RePEc
21
EconStor
4
Other ZBW resources
1
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71
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date (oldest first)
1
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:
2
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:
3
Credit
valuation
adjustment
compression by genetic optimization
Chataigner, Marc
;
Crépey, Stéphane
- In:
Risks
7
(
2019
)
4
,
pp. 1-21
possible. In this work, we present a genetic algorithm applied to the compression of
credit
valuation
adjustment
(CVA), the …
Persistent link: https://www.econbiz.de/10013200518
Saved in:
4
Credit
valuation
adjustment
compression by genetic optimization
Chataigner, Marc
;
Crépey, Stéphane
- In:
Risks : open access journal
7
(
2019
)
4/100
,
pp. 1-21
possible. In this work, we present a genetic algorithm applied to the compression of
credit
valuation
adjustment
(CVA), the …
Persistent link: https://www.econbiz.de/10012128035
Saved in:
5
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:
6
Wrong-way risk in
credit
valuation
adjustment
of credit default swap with copulas
Adachi, Tetsuya
;
Sueshige, Takumi
;
Yoshiba, Toshinao
-
2019
Persistent link: https://www.econbiz.de/10013448467
Saved in:
7
Bilateral Defaultable Financial Derivatives Pricing and
Credit
Valuation
Adjustment
Xiao, Tim
-
2018
The one-side defaultable financial derivatives valuation problems have been studied extensively, but the valuation of bilateral derivatives with asymmetric credit qualities is still lacking convincing mechanism. This paper presents an analytical model for valuing derivatives subject to default...
Persistent link: https://www.econbiz.de/10012058455
Saved in:
8
Branching diffusions with jumps, and valuation with systemic counterparties
Belak, Christoph
;
Hoffmann, Daniel
;
Seifried, Frank Thomas
- In:
The journal of computational finance
25
(
2021
)
3
,
pp. 51-86
Persistent link: https://www.econbiz.de/10012873083
Saved in:
9
Penalty methods for bilateral XVA pricing in European and American contingent claims by a partial differential equation model
Chen, Yuwei
;
Christara, Christiana C.
- In:
The journal of computational finance
24
(
2021
)
4
,
pp. 41-70
Persistent link: https://www.econbiz.de/10012544162
Saved in:
10
Gaussian process regression for derivative portfolio modeling and application to
credit
valuation
adjustment
computations
Crépey, Stéphane
;
Dixon, Matthew F.
- In:
The journal of computational finance
24
(
2020
)
1
,
pp. 47-81
Persistent link: https://www.econbiz.de/10012421957
Saved in:
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