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Credit Valuation Adjustment (CVA) Introduction
Author(s):
Tim Xiao
(see profile)
Date:
2020
Group(s):
Business Management
Subject(s):
Economics
Item Type:
Presentation
Tag(s):
Credit value adjustment
,
CVA
,
credit risk
,
valuation
,
risk management
Search term matches:
Title
... Credit Valuation Adjustment (
CVA
) Introduction ...
Tag
...
cva
...
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 ...
A New Model for Pricing Collateralized Financial Derivatives
Author(s):
Tim Xiao
(see profile)
Date:
2017
Group(s):
Business Management
,
Scholarly Communication
Item Type:
Article
Tag(s):
asset pricing
,
collateralization
,
CVA
,
interaction between market and credit risk
,
plumbing of financial system
,
swap premium spread
,
VaR
Search term matches:
Tag
...
cva
...
Full Text
... premium spread,
CVA
, VaR, interaction between market and credit risk 1 Email: tim ...
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