{"record_type":"pith_number_record","schema_url":"https://pith.science/schemas/pith-number/v1.json","pith_number":"pith:2018:MQ2MROPIQOJSIN52H2WT6M7B6H","short_pith_number":"pith:MQ2MROPI","schema_version":"1.0","canonical_sha256":"6434c8b9e883932437ba3ead3f33e1f1d916f57038ba329dabc503c517daa337","source":{"kind":"arxiv","id":"1806.07667","version":1},"attestation_state":"computed","paper":{"title":"Credit Value Adjustment for Counterparties with Illiquid CDS","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.PR"],"primary_cat":"q-fin.MF","authors_text":"Marta Leniec, Ola Hammarlid","submitted_at":"2018-06-20T11:18:39Z","abstract_excerpt":"Credit Value Adjustment (CVA) is the difference between the value of the default-free and credit-risky derivative portfolio, which can be regarded as the cost of the credit hedge. Default probabilities are therefore needed, as input parameters to the valuation. When liquid CDS are available, then implied probabilities of default can be derived and used. However, in small markets, like the Nordic region of Europe, there are practically no CDS to use. We study the following problem: given that no liquid contracts written on the default event are available, choose a model for the default time and"},"verification_status":{"content_addressed":true,"pith_receipt":true,"author_attested":false,"weak_author_claims":0,"strong_author_claims":0,"externally_anchored":false,"storage_verified":false,"citation_signatures":0,"replication_records":0,"graph_snapshot":true,"references_resolved":false,"formal_links_present":false},"canonical_record":{"source":{"id":"1806.07667","kind":"arxiv","version":1},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.MF","submitted_at":"2018-06-20T11:18:39Z","cross_cats_sorted":["q-fin.PR"],"title_canon_sha256":"160d05ea0d81d1384d14297c6979332946d8ee4a58e1b30b456706ef0b514302","abstract_canon_sha256":"7c8f6a8dc5e603cae6c48d9fd26c91641326d6346a585e78e78c58e7043bdfa3"},"schema_version":"1.0"},"receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-05-18T00:12:47.085669Z","signature_b64":"86/h0vP3G7X7OrqOTJBJECS5QNJMxHif7FsnFfwlNs1tFLA3X7sVZw1ydpqkDbcRnNSxZ9Eo9hbqLLYRJXDKAg==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"6434c8b9e883932437ba3ead3f33e1f1d916f57038ba329dabc503c517daa337","last_reissued_at":"2026-05-18T00:12:47.085125Z","signature_status":"signed_v1","first_computed_at":"2026-05-18T00:12:47.085125Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"graph_snapshot":{"paper":{"title":"Credit Value Adjustment for Counterparties with Illiquid CDS","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":["q-fin.PR"],"primary_cat":"q-fin.MF","authors_text":"Marta Leniec, Ola Hammarlid","submitted_at":"2018-06-20T11:18:39Z","abstract_excerpt":"Credit Value Adjustment (CVA) is the difference between the value of the default-free and credit-risky derivative portfolio, which can be regarded as the cost of the credit hedge. Default probabilities are therefore needed, as input parameters to the valuation. When liquid CDS are available, then implied probabilities of default can be derived and used. However, in small markets, like the Nordic region of Europe, there are practically no CDS to use. We study the following problem: given that no liquid contracts written on the default event are available, choose a model for the default time and"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1806.07667","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"},"aliases":[{"alias_kind":"arxiv","alias_value":"1806.07667","created_at":"2026-05-18T00:12:47.085209+00:00"},{"alias_kind":"arxiv_version","alias_value":"1806.07667v1","created_at":"2026-05-18T00:12:47.085209+00:00"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1806.07667","created_at":"2026-05-18T00:12:47.085209+00:00"},{"alias_kind":"pith_short_12","alias_value":"MQ2MROPIQOJS","created_at":"2026-05-18T12:32:40.477152+00:00"},{"alias_kind":"pith_short_16","alias_value":"MQ2MROPIQOJSIN52","created_at":"2026-05-18T12:32:40.477152+00:00"},{"alias_kind":"pith_short_8","alias_value":"MQ2MROPI","created_at":"2026-05-18T12:32:40.477152+00:00"}],"events":[],"event_summary":{},"paper_claims":[],"inbound_citations":{"count":0,"internal_anchor_count":0,"sample":[]},"formal_canon":{"evidence_count":0,"sample":[],"anchors":[]},"links":{"html":"https://pith.science/pith/MQ2MROPIQOJSIN52H2WT6M7B6H","json":"https://pith.science/pith/MQ2MROPIQOJSIN52H2WT6M7B6H.json","graph_json":"https://pith.science/api/pith-number/MQ2MROPIQOJSIN52H2WT6M7B6H/graph.json","events_json":"https://pith.science/api/pith-number/MQ2MROPIQOJSIN52H2WT6M7B6H/events.json","paper":"https://pith.science/paper/MQ2MROPI"},"agent_actions":{"view_html":"https://pith.science/pith/MQ2MROPIQOJSIN52H2WT6M7B6H","download_json":"https://pith.science/pith/MQ2MROPIQOJSIN52H2WT6M7B6H.json","view_paper":"https://pith.science/paper/MQ2MROPI","resolve_alias":"https://pith.science/api/pith-number/resolve?arxiv=1806.07667&json=true","fetch_graph":"https://pith.science/api/pith-number/MQ2MROPIQOJSIN52H2WT6M7B6H/graph.json","fetch_events":"https://pith.science/api/pith-number/MQ2MROPIQOJSIN52H2WT6M7B6H/events.json","actions":{"anchor_timestamp":"https://pith.science/pith/MQ2MROPIQOJSIN52H2WT6M7B6H/action/timestamp_anchor","attest_storage":"https://pith.science/pith/MQ2MROPIQOJSIN52H2WT6M7B6H/action/storage_attestation","attest_author":"https://pith.science/pith/MQ2MROPIQOJSIN52H2WT6M7B6H/action/author_attestation","sign_citation":"https://pith.science/pith/MQ2MROPIQOJSIN52H2WT6M7B6H/action/citation_signature","submit_replication":"https://pith.science/pith/MQ2MROPIQOJSIN52H2WT6M7B6H/action/replication_record"}},"created_at":"2026-05-18T00:12:47.085209+00:00","updated_at":"2026-05-18T00:12:47.085209+00:00"}