Articles by Carlos Vázquez
Total value adjustment in a multicurrency framework with stochastic exchange rates and mean-reversion spreads
The authors employ portfolio replication and dynamic hedging techniques to derive models for pricing financial derivatives in multicurrency markets and in the presence of counterparty credit risk.
A Libor market model including credit risk under the real-world measure
The authors present a methodology to generate future scenarios of interest rates for different credit ratings under a real-world probability measure.
A new approach to the quantification of model risk for practitioners
This paper's aim is twofold: to introduce a mathematical framework that is sufficiently general and sound to cover the main areas of model risk, and to illustrate how a practitioner can identify the relevant abstract concepts and put them to work.