Related papers: Collateralized CVA Valuation with Rating Triggers …

Value Decomposition (VD) aims to deduce the contributions of agents for decentralized policies in the presence of only global rewards, and has recently emerged as a powerful credit assignment paradigm for tackling cooperative Multi-Agent…

In this paper we revisit Burnett (2021) \& Burnett and Williams (2021)'s notion of hedging valuation adjustment (HVA), originally intended to deal with dynamic hedging frictions such as transaction costs, in the direction of model risk. The…

Competing firms that share a population of risky customers face a decentralized risk detection problem in which each firm holds fragmentary information whose aggregation would generate social value, but private incentives impede truthful…

This paper is devoted to the quantification and analysis of marginal risk contribution of a given single financial institution i to the risk of a financial system s. Our work expands on the CoVaR concept proposed by Adrian and Brunnermeier…

General wrong way risk (WWR) estimation is necessary for regulatory CVA capital and useful for pricing CVA and FVA. We introduce a model independent method for calculating WWR and update the definition of WWR to deal with the lack of…

Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) are two risk measures which are widely used in the practice of risk management. This paper deals with the problem of computing both VaR and CVaR using stochastic approximation (with…

We present an approach to market-consistent multi-period valuation of insurance liability cash flows based on a two-stage valuation procedure. First, a portfolio of traded financial instrument aimed at replicating the liability cash flow is…

Current approaches to fair valuation in insurance often follow a two-step approach, combining quadratic hedging with application of a risk measure on the residual liability, to obtain a cost-of-capital margin. In such approaches, the…

The ability to make optimal decisions under uncertainty remains important across a variety of disciplines from portfolio management to power engineering. This generally implies applying some safety margins on uncertain parameters that may…

Tail-end risk measures such as static conditional value-at-risk (CVaR) are used in safety-critical applications to prevent rare, yet catastrophic events. Unlike risk-neutral objectives, the static CVaR of the return depends on entire…

The purpose of this paper is to design an algorithm for the computation of the counterparty risk which is competitive in regards of a brute force "Monte-Carlo of Monte-Carlo" method (with nested simulations). This is achieved using marked…

Corporate credit ratings issued by third-party rating agencies are quantified assessments of a company's creditworthiness. Credit Ratings highly correlate to the likelihood of a company defaulting on its debt obligations. These ratings play…

In this paper we study the pricing of exchange options under a dynamic described by stochastic correlation with random jumps. In particular, we consider a Ornstein-Uhlenbeck covariance model with Levy Background Noise Process driven by…

We study the impact of central clearing of over-the-counter (OTC) transactions on counterparty exposures in a market with OTC transactions across several asset classes with heterogeneous characteristics. The impact of introducing a central…

In this work, we address risk-averse Bayes-adaptive reinforcement learning. We pose the problem of optimising the conditional value at risk (CVaR) of the total return in Bayes-adaptive Markov decision processes (MDPs). We show that a policy…

In this paper, the author considers the numerical computation of CVA for large systems by Mote Carlo methods. He introduces two types of stochastic mesh methods for the computations of CVA. In the first method, stochastic mesh method is…

We study the problem of valuing and hedging a vulnerable derivative claim with bilateral cash flows between two counterparties in the presence of asymmetric funding costs, defaults and wrong way risk (WWR). We characterize the pre-default…

Within the context of the banking-related literature on contingent convertible bonds, we comprehensively formalise the design and features of a relatively new type of insurance-linked security, called a contingent convertible catastrophe…

The practice of valuation by marking-to-market with current trading prices is seriously flawed. Under leverage the problem is particularly dramatic: due to the concave form of market impact, selling always initially causes the expected…

In offline reinforcement learning (RL) an optimal policy is learned solely from a priori collected observational data. However, in observational data, actions are often confounded by unobserved variables. Instrumental variables (IVs), in…