Toward a coherent Monte Carlo simulation of CVA
نویسندگان
چکیده
منابع مشابه
Toward a coherent Monte Carlo simulation of CVA
This paper is devoted to the simulation of the Credit Valuation Adjustment (CVA) using a pure Monte Carlo technique with Malliavin Calculus (MCM). The procedure presented is based on a general theoretical framework that includes a large number of models as well as various contracts, and allows both the computation of CVA and its sensitivity with respect to the different assets. Moreover, we pro...
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ژورنال
عنوان ژورنال: Monte Carlo Methods and Applications
سال: 2014
ISSN: 0929-9629,1569-3961
DOI: 10.1515/mcma-2013-0026