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Credit Valuation Adjustment (CVA) · Study

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PreprintCredit Valuation Adjustment (CVA)

Shahram Alavian2008

OA

Preprintgreen2008

Credit Valuation Adjustment (CVA)

Shahram Alavian · Jie Ding · Peter Whitehead · Leonardo Laudicina

21 citations·0/0 files stored·SSRN Electronic Journal

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Credit Risk and Financial Regulations Banking stability, regulation, efficiency Stochastic processes and financial applications

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References

2001Interest Rate Models Theory and Practice 2006Interest rate models : theory and practice : with smile, inflation and credit 2003Measuring and marking counterparty risk 2005Counterparty credit risk modelling : risk management, pricing and regulation

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2009COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATIONarticle · 2 shared references 2009Interest Rates and The Credit Crunch: New Formulas and Market Modelspreprint · 2 shared references 2008Bilateral Counterparty Risk Valuation with Stochastic Dynamical Models and Application to Credit Default Swapspreprint · 2 shared references 2009Extension of stochastic volatility equity models with the Hull–White interest rate processarticle · 2 shared references 2016An Explicit Euler Scheme with Strong Rate of Convergence for Financial SDEs with Non-Lipschitz Coefficientsarticle · 2 shared references 2010The Economic Role of Jumps and Recovery Rates \nin the Market for Corporate Default Riskarticle · 2 shared references

Details

Year2008

Typepreprint

Published2008-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations21

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.2139/ssrn.1310226

openalex_workW2096948449

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