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Article . 2019 . Peer-reviewed
License: CC BY
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Credit Valuation Adjustment Model

descriptionPublicationkeyboard_double_arrow_right Article 19 Sep 2019Publisher:Center for Open Science
Authors: Tim Xiao;

doi: 10.31235/osf.io/3yjk2

Credit Valuation Adjustment Model

Abstract

Credit valuation adjustment (CVA) has become the first line of defense and the central part of counterparty risk management. This paper presents a new framework for calculating credit value adjustment. The model can easily incorporate various credit mitigation techniques, such as netting agreements and margin agreements, and can capture wrong/right way risk. Numerical results show that these credit mitigation techniques and wrong way risk have significant impacts on CVA. https://osf.io/preprints/socarxiv/3yjk2/download

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
0
Average
Average
Average
hybrid