Buechel, Patrick and Kratochwil, Michael and Roesch, Daniel (2020) Computing valuation adjustments for counterparty credit risk using a modified supervisory approach. REVIEW OF DERIVATIVES RESEARCH, 23 (3). pp. 273-322. ISSN 1380-6645, 1573-7144
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Considering counterparty credit risk (CCR) for derivatives using valuation adjustments (CVA) is a fundamental and challenging task for entities involved in derivative trading activities. Particularly calculating the expected exposure is time consuming and complex. This paper suggests a fast and simple semi-analytical approach for exposure calculation, which is a modified version of the new regulatory standardized approach (SA-CCR). Hence, it conforms with supervisory rules and IFRS 13. We show that our approach is applicable to multiple asset classes and derivative products, and to single transactions as well as netting sets.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | STOCHASTIC VOLATILITY; MODEL; Counterparty credit risk; Credit valuation adjustments (CVA); Credit exposure; Standardized approach for measuring counterparty credit risk exposures (SA-CCR) |
| Subjects: | 300 Social sciences > 330 Economics |
| Divisions: | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Statistik und Risikomanagement (Prof. Dr. Rösch) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 09 Mar 2021 08:41 |
| Last Modified: | 09 Mar 2021 08:41 |
| URI: | https://pred.uni-regensburg.de/id/eprint/43622 |
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