Evaluation of counterparty credit risk under netting agreements
Author
Abstract
Suggested Citation
DOI: 10.1016/j.ejor.2024.08.019
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- BRIGO, Damiano & VRINS, Frédéric, 2018.
"Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures,"
European Journal of Operational Research, Elsevier, vol. 269(3), pages 1154-1164.
- Damiano Brigo & Frédéric Vrins, 2018. "Disentangling wrong-way risk: Pricing credit valuation adjustment via change of measures," LIDAM Reprints CORE 2949, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Brigo, Damiano & Vrins, Frédéric, 2018. "Disentangling wrong-way risk: pricing credit valuation adjustment via change of measures," LIDAM Reprints LFIN 2018012, Université catholique de Louvain, Louvain Finance (LFIN).
- Andersson, Kristoffer & Oosterlee, Cornelis W., 2021.
"Deep learning for CVA computations of large portfolios of financial derivatives,"
Applied Mathematics and Computation, Elsevier, vol. 409(C).
- Kristoffer Andersson & Cornelis W. Oosterlee, 2020. "Deep learning for CVA computations of large portfolios of financial derivatives," Papers 2010.13843, arXiv.org.
- Brigo, Damiano & Francischello, Marco & Pallavicini, Andrea, 2019. "Nonlinear valuation under credit, funding, and margins: Existence, uniqueness, invariance, and disentanglement," European Journal of Operational Research, Elsevier, vol. 274(2), pages 788-805.
- Kim, Jinbeom & Leung, Tim, 2016.
"Pricing derivatives with counterparty risk and collateralization: A fixed point approach,"
European Journal of Operational Research, Elsevier, vol. 249(2), pages 525-539.
- Jinbeom Kim & Tim Leung, 2015. "Pricing Derivatives with Counterparty Risk and Collateralization: A Fixed Point Approach," Papers 1501.06221, arXiv.org.
- Ben-Ameur, Hatem & Breton, Michele & Karoui, Lotfi & L'Ecuyer, Pierre, 2007. "A dynamic programming approach for pricing options embedded in bonds," Journal of Economic Dynamics and Control, Elsevier, vol. 31(7), pages 2212-2233, July.
- Damiano Brigo & Andrea Pallavicini & Vasileios Papatheodorou, 2011. "Arbitrage-Free Valuation Of Bilateral Counterparty Risk For Interest-Rate Products: Impact Of Volatilities And Correlations," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(06), pages 773-802.
- Klein, Peter, 1996. "Pricing Black-Scholes options with correlated credit risk," Journal of Banking & Finance, Elsevier, vol. 20(7), pages 1211-1229, August.
- Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
- Breton, Michèle & Marzouk, Oussama, 2018. "Evaluation of counterparty risk for derivatives with early-exercise features," Journal of Economic Dynamics and Control, Elsevier, vol. 88(C), pages 1-20.
- Ballotta, Laura & Fusai, Gianluca & Marazzina, Daniele, 2019. "Integrated structural approach to Credit Value Adjustment," European Journal of Operational Research, Elsevier, vol. 272(3), pages 1143-1157.
- Antonelli, Fabio & Ramponi, Alessandro & Scarlatti, Sergio, 2022. "Approximate value adjustments for European claims," European Journal of Operational Research, Elsevier, vol. 300(3), pages 1149-1161.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Antonelli, Fabio & Ramponi, Alessandro & Scarlatti, Sergio, 2022. "Approximate value adjustments for European claims," European Journal of Operational Research, Elsevier, vol. 300(3), pages 1149-1161.
- Cheikh Mbaye & Frédéric Vrins, 2022.
"Affine term structure models: A time‐change approach with perfect fit to market curves,"
Mathematical Finance, Wiley Blackwell, vol. 32(2), pages 678-724, April.
- Cheikh Mbaye & Fr'ed'eric Vrins, 2019. "Affine term structure models : a time-changed approach with perfect fit to market curves," Papers 1903.04211, arXiv.org, revised Jan 2020.
- Mbaye, Cheikh & Vrins, Frédéric, 2019. "Affine term-structure models: A time-changed approach with perfect fit to market curves," LIDAM Discussion Papers LFIN 2019005, Université catholique de Louvain, Louvain Finance (LFIN).
- Mbaye, Cheikh & Vrins, Frédéric, 2021. "Affine term structure models: a time-change approach with perfect fit to market curves," LIDAM Reprints LFIN 2021024, Université catholique de Louvain, Louvain Finance (LFIN).
- Castellano, Rosella & Corallo, Vincenzo & Morelli, Giacomo, 2022. "Structural estimation of counterparty credit risk under recovery risk," Journal of Banking & Finance, Elsevier, vol. 140(C).
- Alessandro Gnoatto & Athena Picarelli & Christoph Reisinger, 2020.
"Deep xVA solver -- A neural network based counterparty credit risk management framework,"
Papers
2005.02633, arXiv.org, revised Dec 2022.
- Alessandro Gnoatto & Athena Picarelli & Christoph Reisinger, 2020. "Deep xVA solver - A neural network based counterparty credit risk management framework," Working Papers 07/2020, University of Verona, Department of Economics.
- Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
- F. Antonelli & A. Ramponi & S. Scarlatti, 2021.
"CVA and vulnerable options pricing by correlation expansions,"
Annals of Operations Research, Springer, vol. 299(1), pages 401-427, April.
- Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti, 2018. "CVA and vulnerable options pricing by correlation expansions," Papers 1811.07294, arXiv.org.
- Alòs, Elisa & Antonelli, Fabio & Ramponi, Alessandro & Scarlatti, Sergio, 2023. "CVA in fractional and rough volatility models," Applied Mathematics and Computation, Elsevier, vol. 442(C).
- Marie-Claude Vachon & Anne Mackay, 2024. "A Unifying Approach for the Pricing of Debt Securities," Papers 2403.06303, arXiv.org, revised Jan 2025.
- Francesca Biagini & Alessandro Gnoatto & Immacolata Oliva, 2019. "Pricing of counterparty risk and funding with CSA discounting, portfolio effects and initial margin," Working Papers 04/2019, University of Verona, Department of Economics.
- E. Alòs & F. Antonelli & A. Ramponi & S. Scarlatti, 2021.
"Cva And Vulnerable Options In Stochastic Volatility Models,"
International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 24(02), pages 1-34, March.
- Elisa Alos & Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti, 2019. "CVA and vulnerable options in stochastic volatility models," Papers 1907.12922, arXiv.org.
- Ludovic Goudenege & Andrea Molent & Antonino Zanette, 2022. "Computing XVA for American basket derivatives by Machine Learning techniques," Papers 2209.06485, arXiv.org.
- Ballotta, Laura & Fusai, Gianluca & Marazzina, Daniele, 2019. "Integrated structural approach to Credit Value Adjustment," European Journal of Operational Research, Elsevier, vol. 272(3), pages 1143-1157.
- Chaofan Sun & Ken Seng Tan & Wei Wei, 2022. "Credit Valuation Adjustment with Replacement Closeout: Theory and Algorithms," Papers 2201.09105, arXiv.org, revised Jan 2022.
- Ehsan Hajizadeh & Masoud Mahootchi, 2019. "Developing a Risk-Based Approach for American Basket Option Pricing," Computational Economics, Springer;Society for Computational Economics, vol. 53(4), pages 1593-1612, April.
- Liu, Zheng & Li, Dongchen & Qian, Linyi & Yao, Jing, 2024. "On the pricing of vulnerable Parisian options," Finance Research Letters, Elsevier, vol. 68(C).
- Ben-Ameur, Hatem & de Frutos, Javier & Fakhfakh, Tarek & Diaby, Vacaba, 2013. "Upper and lower bounds for convex value functions of derivative contracts," Economic Modelling, Elsevier, vol. 34(C), pages 69-75.
- Ketelbuters, John-John & Hainaut, Donatien, 2022. "CDS pricing with fractional Hawkes processes," European Journal of Operational Research, Elsevier, vol. 297(3), pages 1139-1150.
- van der Zwaard, Thomas & Grzelak, Lech A. & Oosterlee, Cornelis W., 2022. "Relevance of Wrong-Way Risk in Funding Valuation Adjustments," Finance Research Letters, Elsevier, vol. 49(C).
- Elisa Al`os & Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti, 2022. "CVA in fractional and rough volatility models," Papers 2204.11554, arXiv.org.
- Joel P. Villarino & 'Alvaro Leitao & Jos'e A. Garc'ia-Rodr'iguez, 2022. "Boundary-safe PINNs extension: Application to non-linear parabolic PDEs in counterparty credit risk," Papers 2210.02175, arXiv.org.
More about this item
Keywords
Game theory; Finance; CVA; Netting; Options;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ejores:v:320:y:2025:i:2:p:402-416. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/eor .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.