4 citations · 5 across the 4 of their papers we have counts for
Showing 2022 · q-fin.CPShow all
2 papers · 2 filters
q-fin.CP2022
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…
q-fin.CP2022★ 4 cited
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…