Сравнение методов
Просматривайте выбранные методы рядом; строки с различиями подсвечены.
| Оценка корректировки стоимости обязательств (Debit Valuation Adjustment)× | Оценка в условиях нейтральности к риску× | |
|---|---|---|
| Область | Количественные финансы | Количественные финансы |
| Семейство | Regression model | Regression model |
| Год появления≠ | 2000s | 1979 |
| Автор метода≠ | Jon Gregory, Christoph Burgard | John Harrison and David Kreps |
| Тип≠ | Valuation Framework | Fundamental Principle |
| Основополагающий источник≠ | 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 ↗ |
| Другие названия | Own Credit Adjustment, OCA | Risk-Neutral Measure, Q-Measure |
| Связанные≠ | 3 | 4 |
| Сводка≠ | 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. |
| ScholarGateНабор данных ↗ |
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