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Paper / 2026SMQ / 100701096940563
Renewing Reliability: Valuation and Credit Risk Adjustments for Renewable Power Purchase Agreements
Amia Santini / Nicola Bartolini / Silvia Romagnoli
credit risk / stochastic processesResource overview

Renewing Reliability: Valuation and Credit Risk Adjustments for Renewable Power Purchase Agreements

Paper2026

by Amia Santini, Nicola Bartolini, Silvia Romagnoli

Tags
credit riskstochastic processes

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Understand this paper

Suggested foundations for credit and counterparty risk and stochastic processes and pricing. Specialist prerequisites vary by paper.

Before you read

  1. Credit Instruments, PD/LGD/EAD, and Rating Migration

    Separate default probability, loss severity and exposure.

  2. Conditional Expectation

    Understand what it means to condition on current information.

  3. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow Brownian dynamics and the second-order term in Itô calculus.

Go further

  1. Threshold Models and the Gaussian Copula for Portfolio Default

    Study dependence between defaults.

  2. CVA and DVA

    Connect exposure and counterparty losses to valuation adjustments.

  3. Market Model and Risk-Neutral Valuation

    Connect stochastic dynamics to no-arbitrage prices.

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