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• Credit Valuation Adjustment (CVA) Introduction

  Author(s):

  Tim Xiao (see profile)

  Date:

  2020

  Group(s):

  Business Management

  Subject(s):

  Economics

  Item Type:

  Presentation

  Tag(s):

  Credit value adjustment, CVA, credit risk, valuation, risk management

  Search term matches:

  Title

  ... Credit Valuation Adjustment (CVA) Introduction ...

  Tag

  ... cva ...

  
  

• The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment

  Author(s):

  Tim Xiao (see profile)

  Date:

  2020

  Group(s):

  Business Management

  Subject(s):

  Economics

  Item Type:

  Article

  Tag(s):

  credit value adjustment (CVA), credit risk modeling, financial derivative valuation, collateralization, margin and netting.

  Search term matches:

  Tag

  ... credit value adjustment (cva) ...

  Full Text

  ... . Credit value adjustment (CVA) is also elaborated. A practical framework is developed for pricing ...

  
  

• A New Model for Pricing Collateralized Financial Derivatives

  Author(s):

  Tim Xiao (see profile)

  Date:

  2017

  Group(s):

  Business Management, Scholarly Communication

  Item Type:

  Article

  Tag(s):

  asset pricing, collateralization, CVA, interaction between market and credit risk, plumbing of financial system, swap premium spread, VaR

  Search term matches:

  Tag

  ... cva ...

  Full Text

  ... premium spread, CVA, VaR, interaction between market and credit risk 1 Email: tim ...

  
  

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