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Bilateral counterparty risk valuation adjustment with wrong way risk on collateralized commodity counterparty
Yang, Yifan; Fabozzi, Frank J.; Bianchi, Michele Leonardo - In: Journal of financial engineering 2 (2015) 1, pp. 1-31
Persistent link: https://www.econbiz.de/10010528392
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A note on the double impact on CVA for CDS : wrong-way risk with stochastic recovery
Li, Hui - In: International journal of theoretical and applied finance 16 (2013) 3, pp. 1-14
Persistent link: https://www.econbiz.de/10009756066
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Valuation and hedging of CDS counterparty exposure in a Markov copula model
Bielecki, Tomasz R.; Crépey, S.; Jeanblanc, Monique; … - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-39
Persistent link: https://www.econbiz.de/10009562148
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Counterparty risk : credit valuation adjustment variability and value-at-risk
Breton, Michèle; Marzouk, Oussama - In: Journal of risk 21 (2018/2019) 5, pp. 1-28
Persistent link: https://www.econbiz.de/10012059879
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Pricingcounterparty risk including collateralization, netting rules, re-hypothecation and wrong-way risk
Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea; … - In: International journal of theoretical and applied finance 16 (2013) 2, pp. 1-16
Persistent link: https://www.econbiz.de/10009748723
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BASEL III counterparty risk and credit value adjustment: impact of the Wrong-way risk
Noh, Jaesun - In: Global economic review 42 (2013) 4, pp. 346-361
Persistent link: https://www.econbiz.de/10010251884
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Path-consistent wrong-way risk : a structural model approach
Hofer, Markus - In: Journal of risk 19 (2016) 1, pp. 25-42
Persistent link: https://www.econbiz.de/10011579756
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Extremal dependence for bilateral credit valuation adjustments
Scherer, Matthias; Schulz, Thorsten - In: International journal of theoretical and applied finance 19 (2016) 7, pp. 1-21
Persistent link: https://www.econbiz.de/10011568865
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Bounding wrong-way risk in CVA calculation
Glasserman, Paul; Yang, Linan - In: Mathematical finance : an international journal of … 28 (2018) 1, pp. 268-305
Persistent link: https://www.econbiz.de/10011969151
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Risk factor evolution for counterparty credit risk under a hidden Markov model
Anagnostou, Ioannis; Kandhai, Drona - In: Risks : open access journal 7 (2019) 2/66, pp. 1-22
One of the key components of counterparty credit risk (CCR) measurement is generating scenarios for the evolution of the underlying risk factors, such as interest and exchange rates, equity and commodity prices, and credit spreads. Geometric Brownian Motion (GBM) is a widely used method for...
Persistent link: https://www.econbiz.de/10012018919