Name
Abstract | ||
|---|---|---|
We take the holistic approach of computing an OTC claim value that incorporates credit and funding liquidity risks and their interplays, instead of forcing individual price adjustments: CVA, DVA, FVA, KVA. The resulting nonlinear mathematical problem features semilinear PDEs and FBSDEs. We show that for the benchmark vulnerable claim there is an analytical solution, and we express it in terms of the Black–Scholes formula with dividends. This allows for a detailed valuation analysis, stress testing and risk analysis via sensitivities. |
Year | DOI | Venue |
|---|---|---|
2017 | 10.1016/j.orl.2017.10.009 | Operations Research Letters |
Keywords | Field | DocType |
Funding costs,Counterparty risk,Credit risk,Repo market,Valuation adjustments,Hedging | Actuarial science,Valuation of options,Dividend,Risk analysis (business),Credit valuation adjustment,Funding liquidity,Valuation (finance),Mathematics,Mathematical problem | Journal |
Volume | Issue | ISSN |
45 | 6 | 0167-6377 |
Citations | PageRank | References |
0 | 0.34 | 2 |
Authors | ||
3 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Damiano Brigo | 1 | 17 | 8.42 |
| C. Buescu | 2 | 0 | 0.34 |
| marek rutkowski | 3 | 19 | 16.43 |