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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
value
adjustment
(
cva
) ...
Full Text
... .
Credit
value
adjustment
(
CVA
) is also elaborated. A practical framework is developed for pricing ...
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