Evaluation of counterparty risk for derivatives with early-exercise features

Evaluation of counterparty risk for derivatives with early-exercise features We introduce an efficient numerical approach to evaluate counterparty risk and we compute the Credit Valuation Adjustment for derivatives having early-exercise features. The approach is flexible and can account for wrong-way risk and various models for the underlying risk factor’s dynamics. Numerical experiments are presented to illustrate the efficiency and versatility of the method. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Economic Dynamics and Control Elsevier

Evaluation of counterparty risk for derivatives with early-exercise features

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Publisher
Elsevier
Copyright
Copyright © 2018 Elsevier B.V.
ISSN
0165-1889
eISSN
1879-1743
D.O.I.
10.1016/j.jedc.2018.01.014
Publisher site
See Article on Publisher Site

Abstract

We introduce an efficient numerical approach to evaluate counterparty risk and we compute the Credit Valuation Adjustment for derivatives having early-exercise features. The approach is flexible and can account for wrong-way risk and various models for the underlying risk factor’s dynamics. Numerical experiments are presented to illustrate the efficiency and versatility of the method.

Journal

Journal of Economic Dynamics and ControlElsevier

Published: Mar 1, 2018

References

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