Article ID Journal Published Year Pages File Type
7358786 Journal of Economic Dynamics and Control 2018 45 Pages PDF
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.
Related Topics
Physical Sciences and Engineering Mathematics Control and Optimization
Authors
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