4 citations · 5 across the 4 of their papers we have counts for
4 papers · 1 filter
On the Hull-White model with volatility smile for Valuation Adjustments
T. van der Zwaard, L. A. Grzelak, C. W. Oosterlee
Affine Diffusion dynamics are frequently used for Valuation Adjustments (xVA) calculations due to their analytic tractability. However, these models cannot capture the market-impli…
Efficient Wrong-Way Risk Modelling for Funding Valuation Adjustments
T. van der Zwaard, L. A. Grzelak, C. W. Oosterlee
Wrong-Way Risk (WWR) is an important component in Funding Valuation Adjustment (FVA) modelling. Yet, the standard assumption is independence between market risks and the counterpar…
Relevance of Wrong-Way Risk in Funding Valuation Adjustments
T. van der Zwaard, L. A. Grzelak, C. W. Oosterlee
In March 2020, the world was thrown into financial distress. This manifested itself in increased uncertainty in the financial markets. Many interest rates collapsed, and funding sp…
A Computational Approach to Hedging Credit Valuation Adjustment in a Jump-Diffusion Setting
T. van der Zwaard, L. A. Grzelak, C. W. Oosterlee
This study contributes to understanding Valuation Adjustments (xVA) by focussing on the dynamic hedging of Credit Valuation Adjustment (CVA), corresponding Profit & Loss (P&L) and…