Lyme-disease 发表于 2025-3-26 23:14:43
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Nonlinearity Valuation Adjustmentdebit, liquidity, and funding valuation adjustments (CVA, DVA, LVA, and FVA) are simply introduced as modifications to the payout cash flows of the trade position. The framework is flexible enough to accommodate actual trading complexities such as asymmetric collateral and funding rates, replacementMANIA 发表于 2025-3-27 06:56:01
Analysis of Nonlinear Valuation Equations Under Credit and Funding Effects. (Funding valuation adjustment: a consistent framework including CVA, DVA, collateral, netting rules and re-hypothecation, 2011, [.]). These equations take the form of semi-linear PDEs and Forward–Backward Stochastic Differential Equations (FBSDEs). After summarizing the cash flows definitions allo使习惯于 发表于 2025-3-27 11:41:17
Nonlinear Monte Carlo Schemes for Counterparty Risk on Credit Derivatives250034(24), 2012 [.], Q J Financ 2(3), 1250015(24), 2012, [.]) and the marked branching diffusion scheme of Henry-Labordère (Risk Mag 25(7), 67–73, 2012, [.]), are compared in terms of applicability and numerical behavior regarding counterparty risk computations on credit derivatives. This is done iGleason-score 发表于 2025-3-27 14:33:19
Tight Semi-model-free Bounds on (Bilateral) CVAtivated by the market turbulences and the financial crises over the past decade which have highlighted the importance of counterparty default risk for uncollateralized derivatives. After a succinct introduction to the topic, it is demonstrated that standard models can be combined to derive semi-mode难听的声音 发表于 2025-3-27 20:41:20
CVA with Wrong-Way Risk in the Presence of Early Exercisetives with early termination features. The tree-based approach described in Baviera et al. (Int. J. Financ. Eng. 2015, [.]) allows to deal with American or Bermudan options in a straightforward way. Extensive numerical results highlight the nontrivial impact of early exercise on CVA.无辜 发表于 2025-3-28 01:30:43
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Capital Optimization Through an Innovative CVA Hedge be cleared by central counterparties, a significant amount of OTC derivatives will be subject to increased regulatory capital charges. These charges cover both current and future unexpected losses; the capital costs for derivatives transactions can become substantial if not prohibitive. At the sameEntrancing 发表于 2025-3-28 10:11:29
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Multi-curve Modelling Using Treesves usually depend on LIBOR. This means that the valuation of interest rate derivatives depends on the evolution of two different term structures. The spread between OIS and LIBOR rates is often assumed to be constant or deterministic. This paper explores how this assumption can be relaxed. It shows