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2017 | OriginalPaper | Chapter

20. New Frontiers in Credit Modelling: The CVA Challenge

Author : Youssef Elouerkhaoui

Published in: Credit Correlation

Publisher: Springer International Publishing

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Abstract

In this chapter, we present a general framework for evaluating the (counterparty) Credit Valuation Adjustment for CDO tranches.

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previous chapter Correlation Calibration with Stochastic Recovery

D. Brigo, A. Capponi, Bilateral counterparty risk valuation with stochastic dynamical models and applications to credit default swaps (Working Paper, FitchSolutions, 2009)

D. Brigo, K. Chourdakis, Counterparty risk for credit default swaps: impact of spread volatility and default correlation. Int. J. Theor. Appl. Financ. 12, 1007–1026 (2009)CrossRef

D. Brigo, M. Morini, CDS market formulas and models (Working Paper, 2005)

S. Crepey, M. Jeanblanc, B. Zagari, CDS with counterparty risk in a markov chain copula model with joint defaults, Recent Advances in Financial Engineering, ed. by M.Kijima, C. Hara, Y. Muromachi, K. Tanaka (World Scientific, 2010), pp. 91–126

C. Dellacherie, Capacites et Processus Stochastiques (Springer, Berlin, 1972)

M. Jeanblanc, M. Rutkowski, Modelling of default risk: mathematical tools (Working Paper, Université d’Evry and Warsaw University of Technology, 2000)

P.J. Schönbucher, D Schubert, Copula-dependent default risk in intensity models (Working Paper, Department of Statistics, Bonn University, 2001)

Title: New Frontiers in Credit Modelling: The CVA Challenge
Author: Youssef Elouerkhaoui
Publisher: Springer International Publishing
Book: Credit Correlation
Print ISBN: 978-3-319-60972-0

Electronic ISBN: 978-3-319-60973-7

Copyright Year: 2017
DOI: https://doi.org/10.1007/978-3-319-60973-7_20