Bandingkan metode
Tinjau metode pilihan Anda berdampingan; baris yang berbeda akan disorot.
| Penyesuaian Penilaian Kredit× | Valuasi Netral Risiko× | |
|---|---|---|
| Bidang | Keuangan Kuantitatif | Keuangan Kuantitatif |
| Keluarga | Regression model | Regression model |
| Tahun asal≠ | 2000s | 1979 |
| Pencetus≠ | Jon Gregory | John Harrison and David Kreps |
| Tipe≠ | Valuation Framework | Fundamental Principle |
| Sumber perintis≠ | 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 |
| Terkait≠ | 3 | 4 |
| Ringkasan≠ | 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. |
| ScholarGateSet data ↗ |
|
|