Sökning: "Credit Value Adjustment"

Visar resultat 1 - 5 av 12 uppsatser innehållade orden Credit Value Adjustment.

  1. 1. X-Value Adjustments for Interest Rate Derivatives

    Master-uppsats, KTH/Matematisk statistik

    Författare :Mehdi Belkotain; [2018]
    Nyckelord :;

    Sammanfattning : In this report, we present the X-Value Adjustments and we introduce a simulation approach to compute these adjustments. We present the steps for the calculation of the Credit Value Adjustment (CVA) on interest rate derivatives as a practical example. LÄS MER

  2. 2. Hedging Error in CVA : Impact of inconsistency between simulation and pricing models

    Master-uppsats, KTH/Matematisk statistik

    Författare :Greta Graziani; [2018]
    Nyckelord :;

    Sammanfattning : The aim of this thesis is to investigate thehedging error in Credit Value Adjustment (CVA) produced by using a model forthe simulation of the risk factors different from the one used in the pricingof the derivative contract. The hypothesis is that this inconsistency betweensimulation and pricing models affects the CVA leading to an error in thehedging of credit counterparty risk. LÄS MER

  3. 3. A study of the Basel III CVA formula

    Kandidat-uppsats,

    Författare :Rickard Olovsson; Erik Sundberg; [2017-07-03]
    Nyckelord :Basel III; Credit Value Adjustment; Counterparty Credit Risk; Credit Default Swap; Interest Rate Swap; Piecewise Constant Default Intensity; Bootstrapping; Expected Exposure; Internal Model Method;

    Sammanfattning : In this thesis we compare the official Basel III method for computing credit value adjustment (CVA) against a model that assumes piecewise constant default intensities for a number of both market and fictive scenarios. CVA is defined as the price deducted from the risk-free value of a bilateral derivative to adjust for the counterparty credit risk. LÄS MER

  4. 4. Credit Risk Modeling and Implementation

    Master-uppsats, Umeå universitet/Institutionen för fysik

    Författare :Johan Gunnars; [2017]
    Nyckelord :CVA; CDS; hazard rate;

    Sammanfattning : The financial crisis and the bankruptcy of Lehman Brothers in 2008 lead to harder regulations for the banking industry which included larger capital reserves for the banks. One of the parts that contributed to this increased capital reserve was the the credit valuation adjustment capital charge which can be explained as the market value of the counterparty default risk. LÄS MER

  5. 5. DVA in the Structured Notes Issuance Portfolio

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Sebastian Sohl; [2017]
    Nyckelord :xVA; DVA; Structured Notes;

    Sammanfattning : This thesis focus on the issuer credit risk in financial derivatives held by a structured notes desk. Post-crisis derivative valuation includes valuation adjustments for credit, collateral and funding risk, commonly referred to as xVA. LÄS MER

BEVAKA DENNA SÖKNING

Få ett mail när det kommer in nya uppsatser på ämnet Credit Value Adjustment.

Din email-adress: