Comparar métodos
Revisa los métodos seleccionados uno junto a otro; las filas que difieren aparecen resaltadas.
| Ajuste por Valoración de Crédito× | Valoración neutral al riesgo× | |
|---|---|---|
| Campo | Finanzas cuantitativas | Finanzas cuantitativas |
| Familia | Regression model | Regression model |
| Año de origen≠ | 2000s | 1979 |
| Autor original≠ | Jon Gregory | John Harrison and David Kreps |
| Tipo≠ | Valuation Framework | Fundamental Principle |
| Fuente seminal≠ | Gregory, J. (2009). Counterparty Credit Risk: The New Challenge for Global Financial Markets. John Wiley & Sons. link ↗ | Harrison, J. M., & Kreps, D. M. (1979). Martingales and arbitrage in multiperiod securities markets. Journal of Economic Theory, 20(3), 381-408. DOI ↗ |
| Alias | CVA, Counterparty Risk Adjustment | Risk-Neutral Measure, Q-Measure |
| Relacionados≠ | 3 | 4 |
| Resumen≠ | Credit Valuation Adjustment (CVA) is the market price of counterparty credit risk embedded in over-the-counter (OTC) derivatives. CVA measures the loss from counterparty default, accounting for both the probability of default and the exposure at that time. It has become a key component of derivative valuation and risk management since the 2008 financial crisis. | Risk-neutral valuation (1979) is the fundamental principle that derivative prices equal the expected payoff discounted at the risk-free rate, computed under a risk-neutral probability measure (Q-measure). This principle, formalized by Harrison and Kreps, eliminates the need to estimate risk premia and is the foundation of modern derivatives pricing. |
| ScholarGateConjunto de datos ↗ |
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