Sökning: "Homogeneous CVA Portfolio"

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  1. 1. CVA for IR-Swaps under Wrong Way Risk. A numerical evaluation using a semi-analytical model

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Berglind Halldórsdóttir; Weili Zhang; [2016-09-21]
    Nyckelord :Credit Value Adjustment; Wrong Way Risk; Interest Rate Swap; Credit Default Swap; Homogeneous CVA Portfolio; Heterogeneous CVA Portfolio; Semi-Analytical Model;

    Sammanfattning : This thesis examines the background and nature of credit value adjustment (CVA), a concept that has heightened in its importance in the financial market after the 2008 financial crisis. Credit value adjustment is defined as a price deducted from the risk-free value of a bilateral derivative to adjust for the counterparty credit risk (CCR). LÄS MER