Credit Derivative Evaluation and CVA under the Benchmark Approach
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- Jan Baldeaux & Eckhard Platen, 2015. "Credit Derivative Evaluation and CVA Under the Benchmark Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 22(3), pages 305-331, September.
References listed on IDEAS
- Nicola Bruti-Liberati, 2007. "Numerical Solution of Stochastic Differential Equations with Jumps in Finance," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1, january-d.
- Eckhard Platen, 2002. "A Benchmark Framework for Integrated Risk Management," Research Paper Series 82, Quantitative Finance Research Centre, University of Technology, Sydney.
- Eckhard Platen, 2006. "A Benchmark Approach To Finance," Mathematical Finance, Wiley Blackwell, vol. 16(1), pages 131-151.
- Andrea Pallavicini & Daniele Perini & Damiano Brigo, 2011. "Funding Valuation Adjustment: a consistent framework including CVA, DVA, collateral,netting rules and re-hypothecation," Papers 1112.1521, arXiv.org, revised Dec 2011.
- Eckhard Platen & Renata Rendek, 2010. "Approximating the Numeraire Portfolio by Naive Diversification," Research Paper Series 281, Quantitative Finance Research Centre, University of Technology, Sydney.
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KeywordsCredit derivatives; credit valuation adjustment; benchmark approach; affine processes; real world pricing;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
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