Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7358786 | Journal of Economic Dynamics and Control | 2018 | 45 Pages |
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Control and Optimization
Authors
Michèle Breton, Oussama Marzouk,