The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment
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Keywordscredit value adjustment (CVA); credit risk modeling; financial derivative valuation; collateralization; margin and netting;
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
- G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
- G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-CFN-2019-09-30 (Corporate Finance)
- NEP-FMK-2019-09-30 (Financial Markets)
- NEP-MAC-2019-09-30 (Macroeconomics)
- NEP-RMG-2019-09-30 (Risk Management)
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