Relevant bibliographies by topics / Credit valuation adjustment (cva)

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  2. Dissertations / Theses
  3. Books
  4. Book chapters

Academic literature on the topic 'Credit valuation adjustment (cva)'

Author: Grafiati
Published: 4 June 2021
Last updated: 13 February 2022

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Journal articles on the topic "Credit valuation adjustment (cva)"

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YI, CHUANG. "DANGEROUS KNOWLEDGE: CREDIT VALUE ADJUSTMENT WITH CREDIT TRIGGERS." International Journal of Theoretical and Applied Finance 14, no. 06 (2011): 839–65. http://dx.doi.org/10.1142/s0219024911006395.

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We generalize the arbitrage-free valuation framework for counterparty credit risk (CCR) adjustments when credit triggers are allowed in the contract. The settlement of the deal for the investor could be either obliged or optional to execute when the counterparty hits the credit trigger before any default events from the two parties. General formulas for credit value adjustment (CVA) are given for all four cases: obliged unilateral, obliged bilateral, optional unilateral and optional bilateral. The unilateral CVA with an optional credit trigger is found to be the same as the unilateral CVA with
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Van Vuuren, Gary Wayne, and Ja'nel Esterhuysen. "A primer on counterparty valuation adjustments in South Africa." South African Journal of Economic and Management Sciences 17, no. 5 (2014): 584–600. http://dx.doi.org/10.4102/sajems.v17i5.648.

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Counterparty valuation adjustment (CVA) risk accounts for losses due to the deterioration in credit quality of derivative counterparties with large credit spreads. Of the losses attributed to counterparty credit risk incurred during the financial crisis of 2008-9 were due to CVA risk; the remaining third were due to actual defaults. Regulatory authorities have acknowledged and included this risk in the new Basel III rules. The capital implications of CVA risk in the South African milieu are explored, as well as the sensitivity of CVA risk components to market variables. Proposed methodologies
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Chataigner, Marc, and Stéphane Crépey. "Credit Valuation Adjustment Compression by Genetic Optimization." Risks 7, no. 4 (2019): 100. http://dx.doi.org/10.3390/risks7040100.

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Since the 2008–2009 financial crisis, banks have introduced a family of X-valuation adjustments (XVAs) to quantify the cost of counterparty risk and of its capital and funding implications. XVAs represent a switch of paradigm in derivative management, from hedging to balance sheet optimization. They reflect market inefficiencies that should be compressed as much as possible. In this work, we present a genetic algorithm applied to the compression of credit valuation adjustment (CVA), the expected cost of client defaults to a bank. The design of the algorithm is fine-tuned to the hybrid structur
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BIELECKI, TOMASZ R., IGOR CIALENCO, and ISMAIL IYIGUNLER. "COLLATERALIZED CVA VALUATION WITH RATING TRIGGERS AND CREDIT MIGRATIONS." International Journal of Theoretical and Applied Finance 16, no. 02 (2013): 1350009. http://dx.doi.org/10.1142/s021902491350009x.

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In this paper we discuss the issue of computation of the bilateral credit valuation adjustment (CVA) under rating triggers, and in presence of ratings-linked margin agreements. Specifically, we consider collateralized OTC contracts, that are subject to rating triggers, between two parties — an investor and a counterparty. Moreover, we model the margin process as a functional of the credit ratings of the counterparty and the investor. We employ a Markovian approach for modeling of the rating transitions of the two parties to the contract. In this framework, we derive the representation for bila
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FENG, QIAN, and CORNELIS W. OOSTERLEE. "COMPUTING CREDIT VALUATION ADJUSTMENT FOR BERMUDAN OPTIONS WITH WRONG WAY RISK." International Journal of Theoretical and Applied Finance 20, no. 08 (2017): 1750056. http://dx.doi.org/10.1142/s021902491750056x.

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We study the impact of wrong way risk (WWR) on credit valuation adjustment (CVA) for Bermudan options. WWR is modeled by a dependency between the underlying asset and the intensity of the counterparty’s default. Two WWR models are proposed, based on a deterministic function and a CIR-jump (CIRJ) model, respectively. We present a nonnested Monte Carlo approach for computing CVA–VaR and CVA–expected shortfall (ES) for Bermudan options. By varying correlation coefficients, we study the impact of credit quality and WWR on the optimal exercise boundaries and CVA values of Bermudan products. Stress
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Křivánková, Lenka, and Silvie Zlatošová. "Modelling Counterparty Credit Risk in Czech Interest Rate Swaps." Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis 65, no. 3 (2017): 1015–22. http://dx.doi.org/10.11118/actaun201765031015.

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According to the Basel Committee’s estimate, three quarters of counterparty credit risk losses during the financial crisis in 2008 originate from credit valuation adjustment’s losses and not from actual defaults. Therefore, from 2015, the Third Basel Accord (EU, 2013a) and (EU, 2013b) instructed banks to calculate the capital requirement for the risk of credit valuation adjustment (CVA). Banks are trying to model CVA to hold the prescribed standards and also reach the lowest possible impact on their profit. In this paper, we try to model CVA using methods that are in compliance with the prescr
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BRIGO, DAMIANO, CRISTIN BUESCU, and MASSIMO MORINI. "COUNTERPARTY RISK PRICING: IMPACT OF CLOSEOUT AND FIRST-TO-DEFAULT TIMES." International Journal of Theoretical and Applied Finance 15, no. 06 (2012): 1250039. http://dx.doi.org/10.1142/s0219024912500392.

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In the absence of a universally accepted procedure for the credit valuation adjustment (CVA) calculation, we compare a number of different bilateral counterparty valuation adjustment (BVA) formulas. First we investigate the impact of the choice of the closeout convention used in the formulas. Important consequences on default contagion manifest themselves in a rather different way depending on which closeout formulation is used (risk-free or replacement), and on default dependence between the two entities in the deal. Second we compare the full bilateral formula with an approximation that is b
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Yang, Yifan, Frank J. Fabozzi, and Michele Leonardo Bianchi. "Bilateral counterparty risk valuation adjustment with wrong way risk on collateralized commodity counterparty." Journal of Financial Engineering 02, no. 01 (2015): 1550001. http://dx.doi.org/10.1142/s2345768615500014.

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Basel III requires banks to include a credit value adjustment (CVA) into capital charges. Both CVA and debt value adjustment (DVA) must be included for derivatives using mark-to-market accounting. An effective method to calculate bilateral-CVA (BR-CVA) by incorporating wrong-way risk (WWR) for a collateralized counterparty is proposed which handles WWR — defined as when counterparty credit exposure increases as default probability increases — by building a trivariate Gaussian copula between the aggregate market risk exposure factor and default quality of the financial institution and counterpa
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Liu, Qian. "Calculation of Credit Valuation Adjustment Based on Least Square Monte Carlo Methods." Mathematical Problems in Engineering 2015 (2015): 1–6. http://dx.doi.org/10.1155/2015/959312.

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Counterparty credit risk has become one of the highest-profile risks facing participants in the financial markets. Despite this, relatively little is known about how counterparty credit risk is actually priced mathematically. We examine this issue using interest rate swaps. This largely traded financial product allows us to well identify the risk profiles of both institutions and their counterparties. Concretely, Hull-White model for rate and mean-reverting model for default intensity have proven to be in correspondence with the reality and to be well suited for financial institutions. Besides
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Singh, Derek, and Shuzhong Zhang. "Distributionally Robust XVA via Wasserstein Distance: Wrong Way Counterparty Credit and Funding Risk." Applied Economics and Finance 7, no. 6 (2020): 70. http://dx.doi.org/10.11114/aef.v7i6.5060.

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This paper investigates calculations of robust X-Value adjustment (XVA), in particular, credit valuation adjustment (CVA) and funding valuation adjustment (FVA), for over-the-counter derivatives under distributional ambiguity using Wasserstein distance as the ambiguity measure. Wrong way counterparty credit risk and funding risk can be characterized (and indeed quantified) via the robust XVA formulations. The simpler dual formulations are derived using recent Lagrangian duality results. Next, some computational experiments are conducted to measure the additional XVA charges due to distribution
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Dissertations / Theses on the topic "Credit valuation adjustment (cva)"

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Franzén, Dan, and Otto Sjöholm. "Credit Valuation Adjustment: In theory and practice." Thesis, KTH, Matematisk statistik, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-140841.

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This thesis is intended to give an overview of creditvaluation adjustment (CVA) and adjacent concepts. Firstly, the historicalevents that preceded the initiative to reform the Basel regulations and tointroduce CVA as a core component of counterparty credit risk are illustrated.After some conceptual background material, a journey is taken through theregulatory aspects of CVA. The three most commonly used methods for calculatingthe regulatory CVA capital charge are explained in detail and potentialchallenges with the methods are addressed. Further, the document analyses ingreater depth two of th
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Fjällström, Ludvig, and Leonard Vermelin. "Kreditvärdighetsjusteringsmodell för ränteswappar." Thesis, Umeå universitet, Institutionen för matematik och matematisk statistik, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-121340.

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Before the global financial crisis around 2008, the priority of the credit margin was comparatively low and was not taken into consideration as much as today. Many actors believed that credit risk could be neglected at various valuations. Due to that a lot of parties went bankrupt because of the low priorities. Today, this is a natural component in the financial market due to the capital regulation CRR and the Capital requirement directives (CRD IV), which are directly related to Basel III. In this thesis the authors have created a Credit valuation adjustment model, or a CVA-model, on behalf o
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Lundström, Edvin. "On the Proxy Modelling of Risk-Neutral Default Probabilities." Thesis, KTH, Matematisk statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-273624.

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Since the default of Lehman Brothers in 2008, it has become increasingly important to measure, manage and price the default risk in financial derivatives. Default risk in financial derivatives is referred to as counterparty credit risk (CCR). The price of CCR is captured in Credit Valuation Adjustment (CVA). This adjustment should in principle always enter the valuation of a derivative traded over-the-counter (OTC). To calculate CVA, one needs to know the probability of default of the counterparty. Since CVA is a price, what one needs is the risk-neutral probability of default. The typical way
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Chernizon, Eitan. "Modelagem da dependência entre fatores de crédito e mercado para apreçamento e gerenciamento de risco em exposições de derivativos." reponame:Repositório Institucional do FGV, 2013. http://hdl.handle.net/10438/10493.

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Submitted by Eitan Chernizon (eitan.chernizon@sgcib.com) on 2013-02-15T17:46:24Z No. of bitstreams: 1 MODELAGEM DA DEPENDÊNCIA ENTRE FATORES DE CRÉDITO E MERCADO.pdf: 1474762 bytes, checksum: 19b13b065762c89e556619042eaf016d (MD5)<br>Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2013-02-18T12:58:52Z (GMT) No. of bitstreams: 1 MODELAGEM DA DEPENDÊNCIA ENTRE FATORES DE CRÉDITO E MERCADO.pdf: 1474762 bytes, checksum: 19b13b065762c89e556619042eaf016d (MD5)<br>Made available in DSpace on 2013-02-18T13:20:44Z (GMT). No. of bitstreams: 1 MODELAGEM DA DE
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Iben, Taarit Marouan. "Valorisation des ajustements Xva : de l’exposition espérée aux risques adverses de corrélation." Thesis, Paris Est, 2018. http://www.theses.fr/2018PESC1059/document.

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Nous entamons ce rapport de thèse par l’évaluation de l’espérance espérée qui représente une des composantes majeures des ajustements XVA. Sous l’hypothèse d’indépendance entre l’exposition et les coûts de financement et de crédit, nous dérivons dans le chapitre 3 une représentation nouvelle de l’exposition espérée comme la solution d’une équation différentielle ordinaire par rapport au temps d’observation du défaut. Nous nous basons, pour le cas unidimensionnel, sur des arguments similaires à ceux de la volatilité locale de Dupire. Et pour le cas multidimensionnel, nous nous référons à la for
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Kettani, Othmane. "Modélisation du risque de crédit de contrepartie." Thesis, Paris 1, 2017. http://www.theses.fr/2017PA01E005.

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On définit le risque de contrepartie comme le risque de détérioration de la qualité de crédit entrainant une incapacité de la contrepartie à remplir ses obligations contractuelles. De nos jours, ce risque ne se limite plus aux entreprises, mais s'est également étendu aux banques et autres institutions financières. Par conséquent, toute entité participant aux marchés dérivés OTC est exposée à ce risque. La «Credit Value Adjustment» (CVA) est la valeur de marché du risque de contrepartie. En raison de sa complexité, la mise en œuvre de la CVA demeure l'un des plus grands défis auxquels les banqu
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Šedivý, Jan. "Vliv rizika protistrany na oceňování derivátů a jeho dopady na chování bank." Doctoral thesis, Vysoká škola ekonomická v Praze, 2016. http://www.nusl.cz/ntk/nusl-205440.

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In the thesis we analyse changes in derivatives valuation after the financial crisis and their impact on behaviour of financial institutions. We focus mainly on the changes related to counterparty credit risk and valuation adjustments. We describe in economical terms the relationship between counterparty credit risk and traditional credit risk, we also introduce management and modelling of this risk. In second part of the study we analyse the regulatory framework, in particular new capital requirement and mandatory central clearing of OTC derivatives. We discuss inconsistencies between regulat
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Sousa, Ana Isabel Amaro de. "Metodologias para mensurar a exposição ao risco de crédito de contraparte de derivados over--the-couter." Master's thesis, Instituto Superior de Economia e Gestão, 2011. http://hdl.handle.net/10400.5/4452.

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Mestrado em Matemática Financeira<br>O Acordo de Basileia III prevê, além do aumento da qualidade e do nível de requisitos de capital, a revisão de métricas com vista a melhorar o nível de exposição ao Risco de Crédito de Contraparte (RCC). O objetivo deste trabalho é desenvolver metodologias para mensurar a exposição esperada ao RCC de derivados negociados fora de bolsa (Over-The-Counter – OTC), que consistem em contratos ligados ao futuro valor, ou situação, dos instrumentos subjacentes aos quais se referem. Neste contexto, a inovação do novo Acordo refere-se à introdução de um encargo de ca
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Sayah, Mabelle. "Understanding some new Basel III implementation issues for Lebanese Commercial Banks." Thesis, Lyon, 2017. http://www.theses.fr/2017LYSE1150/document.

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L'objectif de cette thèse est de fournir à la banque Audi un outil à jour sur les façons de calculer le capital requis par Bâle pour certains risques financiers présents dans le portefeuille de la banque. La régulation internationale est en développement continu : des nouvelles approches sont proposées afin de couvrir au mieux les risques du marché et du secteur bancaire. Les crises financières récentes étaient à la base de ces réformes. De plus, la Banque Audi opère sur des marchés qui présentent des caractères spécifiques qu'il faut prendre en considération lors du calcul du capital requis.
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Milwidsky, Cara. "Credit valuation adjustments with application to credit default swaps." Diss., 2012. http://hdl.handle.net/2263/26050.

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The credit valuation adjustment (CVA) on an over-the-counter derivative transaction is the price of the risk associated with the potential default of the counterparties to the trade. This dissertation provides an introduction to the concept of CVA, beginning with the required backdrop of counterparty risk and the basics of default risk modelling. Right and wrong way risks are central themes of the dissertation. A model for the pricing of both the unilateral and the bilateral CVA on a credit default swap (CDS) is implemented. Each step of this process is explained thoroughly. Results are report
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Books on the topic "Credit valuation adjustment (cva)"

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CVA Credit and Funding Valuation Adjustment Wiley Finance Series. John Wiley & Sons Inc, 2014.

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Simon, Gleeson. Part III Investment Banking, 16 Credit Value Adjustment. Oxford University Press, 2018. http://dx.doi.org/10.1093/law/9780198793410.003.0016.

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The chapter discusses credit value adjustment (CVA) under Basel 2.5 and Basel 3. CVA is an adjustment to the fair value (or price) of derivative instruments to account for counterparty credit risk (CCR). Thus, CVA is commonly viewed as the price of CCR. The purpose of the CVA capital charge is to capitalize the risk of future changes in CVA. For most exposures, at any given time the market credit spread on the relevant counterparty is good proxy for the CVA applicable to the exposure, but the regulatory calculations involved reflect a number of factors as well as this particular input.
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Book chapters on the topic "Credit valuation adjustment (cva)"

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Carlone, Giulio. "Risk Perspective of Credit Valuation Adjustment." In Introduction to Credit Risk. Chapman and Hall/CRC, 2020. http://dx.doi.org/10.1201/9781003036944-11.

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"CVA Risk Warehousing and Tax Valuation Adjustment (TVA)." In XVA: Credit, Funding and Capital Valuation Adjustments. John Wiley & Sons, Ltd, 2015. http://dx.doi.org/10.1002/9781119161233.ch14.

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"CVA and DVA: Credit and Debit Valuation Adjustment Models." In XVA: Credit, Funding and Capital Valuation Adjustments. John Wiley & Sons, Ltd, 2015. http://dx.doi.org/10.1002/9781119161233.ch3.

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"Analytic Models for CVA and DVA." In XVA: Credit, Funding and Capital Valuation Adjustments. John Wiley & Sons, Ltd, 2015. http://dx.doi.org/10.1002/9781119161233.ch5.

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"Wrong-way and Right-way Risk for CVA." In XVA: Credit, Funding and Capital Valuation Adjustments. John Wiley & Sons, Ltd, 2015. http://dx.doi.org/10.1002/9781119161233.ch7.

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Drwenski, Birgitta, Jochen Beißer, and Lutz Mangels. "Counterparty Credit Risk and Credit Valuation Adjustments (CVAs) for Interest Rate Derivatives–Current Challenges for CVA Desks." In Rethinking Valuation and Pricing Models. Elsevier, 2013. http://dx.doi.org/10.1016/b978-0-12-415875-7.00006-3.

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Quaglia, Lucia. "International Standards for Bank Capital Exposures to CCPs and Derivatives." In The Politics of Regime Complexity in International Derivatives Regulation. Oxford University Press, 2020. http://dx.doi.org/10.1093/oso/9780198866077.003.0007.

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The elemental regime on bank capital for derivatives encompassed the credit valuation adjustment (CVA), the leverage ratio, and bank exposures to CCPs. Like for other parts of Basel III, the US and the UK were pace-setters internationally, promoting relatively precise, stringent, and consistent rules. The EU agreed on the need for higher capital requirements, but worried about negative implications for the provision of credit to the real economy. Networks of regulators were instrumental in furthering agreement amongst and within jurisdictions. They also fostered rules consistency through formal and informal coordination tools amongst international standard-setting bodies. The financial industry mobilized in order to reduce the precision and stringency of capital requirements, pointing out the need to consider capital reforms in conjunction with other post-crisis standards, notably, margins.
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"Managing CVA - The “CVA Desk”." In Counterparty Credit Risk and Credit Value Adjustment. John Wiley & Sons Ltd, 2013. http://dx.doi.org/10.1002/9781118673638.ch18.

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"Funding and Valuation." In Counterparty Credit Risk and Credit Value Adjustment. John Wiley & Sons Ltd, 2013. http://dx.doi.org/10.1002/9781118673638.ch14.

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"Funding Valuation Adjustment (FVA)?" In Counterparty Credit Risk, Collateral and Funding. John Wiley & Sons, Ltd, 2013. http://dx.doi.org/10.1002/9781118818589.ch17.

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