This review provides formal definitions of the terms credit value adjustment (CVA) and debt value adjustment (DVA …. This review discusses the use of collateral for risk mitigation and its effects on CVA. Regulators have argued that …

improvement in liquidity and trading activity. …

the macroeconomic conditions. We give the explicit formula for the bilateral credit valuation adjustment (CVA) of CDS and … examine the effect of the regime switching on the CVA. …

We show that liquidity risk is priced in the cross section of returns on credit default swaps (CDSs). We measure CDS … constituents' CDS spreads, and we construct a tradable liquidity factor from returns on index arbitrage strategies. CDS contracts … with higher liquidity exposures have higher expected excess returns for sellers of credit protection and trade with wider …

Classical option pricing theories are usually built on the law of one price, neglecting the impact of market liquidity … liquidity model, extending the discrete-time constant liquidity model of Madan (2010). With this extension, we can replicate the … stochastic liquidity model within our framework using multidimensional binomial trees and we calibrate it to call and put options …

Extreme market outcomes are often followed by a lack of liquidity and a lack of trade. This market collapse seems … liquidity as measured by the bid-ask spread set by a monopoly market maker. In addition, the non-standard nature of hedging …