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Pricing counterparty risk at the trade level and CVA allocations

Pykhtin, Michael; Rosen, Dan - 2010

Persistent link: https://www.econbiz.de/10003968245

Pricing counterparty risk at the trade level and credit valuation adjustment allocations

Pykhtin, Michael; Rosen, Dan - In: The journal of credit risk : published quarterly by … 6 (2010/11) 4, pp. 3-38

Persistent link: https://www.econbiz.de/10008807742

Pricing Counterparty Risk at the Trade Level and CVA Allocations

Pykhtin, Michael - 2016

We address the problem of allocating the counterparty-level credit valuation adjustment (CVA) to the individual trades composing the portfolio. We show that this problem can be reduced to calculating contributions of the trades to the counterparty-level expected exposure (EE) conditional on the...

Persistent link: https://www.econbiz.de/10013008696

On the continuity of the feasible set mapping in optimal transport

Ghossoub, Mario; Saunders, David M. - In: Economic theory bulletin 9 (2021) 1, pp. 113-117

Persistent link: https://www.econbiz.de/10012495317

Maximum spectral measures of risk with given risk factor marginal distributions

Ghossoub, Mario; Hall, Jesse; Saunders, David M. - In: Mathematics of operations research 48 (2023) 2, pp. 1158-1182

Persistent link: https://www.econbiz.de/10014314983