Võrdle meetodeid
Vaata valitud meetodeid kõrvuti; erinevad read on esile tõstetud.
| Debitori väärtuse korrektsioon× | Riski-neutraalne hindamine× | |
|---|---|---|
| Valdkond | Kvantitatiivne rahandus | Kvantitatiivne rahandus |
| Perekond | Regression model | Regression model |
| Tekkeaasta≠ | 2000s | 1979 |
| Looja≠ | Jon Gregory, Christoph Burgard | John Harrison and David Kreps |
| Tüüp≠ | Valuation Framework | Fundamental Principle |
| Algallikas≠ | 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 ↗ |
| Rööpnimetused | Own Credit Adjustment, OCA | Risk-Neutral Measure, Q-Measure |
| Seotud≠ | 3 | 4 |
| Kokkuvõte≠ | Debit Valuation Adjustment (DVA) represents the value of your own credit risk to counterparties. DVA measures the gain in derivative value if you default on your obligations—a benefit for your shareholders because creditors receive less than the full derivative value. DVA is controversial but now mandatory under IFRS 13 for fair value accounting. | 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. |
| ScholarGateAndmestik ↗ |
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