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Counterparty Credit Risk Introduction
Author(s):
Tim Xiao
(see profile)
Date:
2020
Group(s):
Business Management
Subject(s):
Economics
Item Type:
Presentation
Tag(s):
credit risk
,
counterparty credit risk
,
credit risk modeling
,
default risk
Search term matches:
Tag
...
credit
risk
modeling
...
The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment
Author(s):
Tim Xiao
(see profile)
Date:
2020
Group(s):
Business Management
Subject(s):
Economics
Item Type:
Article
Tag(s):
credit value adjustment (CVA)
,
credit risk modeling
,
financial derivative valuation
,
collateralization
,
margin and netting.
Search term matches:
Tag
...
credit
risk
modeling
...
Full Text
... adjustment (CVA),
credit
risk
modeling
, financial derivative valuation, collateralization, margin ...
The Valuation of Credit Default Swap with Counterparty Risk and Collateralization
Author(s):
Tim Xiao
(see profile)
Date:
2020
Group(s):
Business Management
Subject(s):
Economics
Item Type:
Article
Tag(s):
valuation model; credit risk modeling; collateralization; correlation
,
CDS.
Search term matches:
Tag
... valuation model;
credit
risk
modeling
; collateralization; correlation ...
Full Text
... in the CDS market. Key Words: valuation model;
credit
risk
modeling
; collateralization; correlation ...
Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization
Author(s):
Tim Xiao
(see profile)
Date:
2020
Group(s):
Business Management
Subject(s):
Economics
Item Type:
Article
Tag(s):
asset pricing
,
credit risk modeling
,
colateral
,
risk management
,
CDS
Search term matches:
Tag
...
credit
risk
modeling
...
Full Text
... into the area of
credit
risk
modeling
to capture the statistical relationship among three or more random ...
The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling
Author(s):
Tim Xiao
(see profile)
Date:
2020
Group(s):
Business Management
Subject(s):
Economics
,
Qualitative research--Methodology
Item Type:
Article
Tag(s):
asset pricing
,
credit risk modeling
,
collateralization
,
Quantitative methods
Search term matches:
Title
... The Impact of Default Dependency and Collateralization on Asset Pricing and
Credit
Risk
Modeling
...
Tag
...
credit
risk
modeling
...
Full Text
... is not equivalent to a risk-free one. Key Words: asset pricing;
credit
risk
modeling
; unilateral, bilateral ...
An Accurate Solution for Credit Valuation Adjustment (CVA) and Wrong Way Risk
Author(s):
Tim Xiao
(see profile)
Date:
2015
Group(s):
Business Management
,
Scholarly Communication
Subject(s):
Economics
,
Knowledge management
,
Commercial statistics
Item Type:
Article
Tag(s):
asset pricing
,
credit value adjustment
,
wrong way risk
,
credit risk modeling
,
default time approach
,
Business data
Search term matches:
Tag
...
credit
risk
modeling
...
Full Text
... risk,
credit
risk
modeling
, least square Monte Carlo, default time approach (DTA), default ...
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