ارزیابی خطر همکاری با مشتقات با ویژگی های زودرس

We introduce an efficient numerical approach to evaluate counterparty risk and we compute the Credit Valuation Adjustment 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 and versatility of the method.