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Search: subject:"margin valuation adjustment (MVA)"
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margin valuation adjustment (MVA)
4
initial margin (IM)
2
Clearing
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Credit risk
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Credit valuation adjustment (CVA)
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Derivat
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algorithmic differentiation
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automatic differentiation
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capital valuation adjustment (KVA)
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central clearing
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central counterparty (CCP)
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collateral valuation adjustment (ColVA)
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credit valuation adjustment (CVA)
1
fat-tailed process
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forward sensitivities
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funding cost adjustment (FCA)
1
funding valuation adjustment (FVA)
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initial margin simulation
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stochastic cross-currency basis
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Andersen, Leif
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Dickinson, Andrew
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Fries, Christian
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Puetter, Christoph M.
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Renzitti, Stefano
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Wu, Lixin
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Zhang, Dawei
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International journal of theoretical and applied finance
1
The journal of computational finance
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The journal of credit risk : published quarterly by Incisive Media
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The journal of financial market infrastructures
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ECONIS (ZBW)
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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:
2
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
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3
Funding and credit risk with locally elliptical portfolio processes : an application to central counterparties
Andersen, Leif
;
Dickinson, Andrew
- In:
The journal of financial market infrastructures
7
(
2019
)
4
,
pp. 27-70
Persistent link: https://www.econbiz.de/10012104989
Saved in:
4
Fast stochastic forward sensitivities in Monte Carlo simulations using stochastic automatic differentiation (with applications to initial margin valuation adjustments)
Fries, Christian
- In:
The journal of computational finance
22
(
2018/2019
)
4
,
pp. 103-125
Persistent link: https://www.econbiz.de/10012042220
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