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G-2015-62

Evaluation of counterparty risk for derivatives with early exercise features

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We introduce an efficient approach to evaluate counterparty risk and we compute the Credit Valuation Adjustement for derivatives having early exercise features. The approach is flexible and can account for wrong-way risk and various models for the underlying risk factor's dynamics. Numerical experiments are presented to illustrate the efficiency of the method.

, 23 pages

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G1562.pdf (500 KB)