Computing valuation adjustments for counterparty credit risk using a modified supervisory approach

URN to cite this document:: urn:nbn:de:bvb:355-epub-443168
DOI to cite this document:: 10.5283/epub.44316

Büchel, Patrick ; Kratochwil, Michael

; Rösch, Daniel

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Date of publication of this fulltext: 17 Dec 2020 06:49

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Abstract

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 ...