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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

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

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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

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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

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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

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

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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

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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

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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

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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

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