Sökning: "Bilateral credit value adjustment"

Visar resultat 1 - 5 av 6 uppsatser innehållade orden Bilateral credit value adjustment.

1. 1. ON THE CVA OF CREDIT DEFAULT SWAPS: THE IMPLICATION OF DEPENDENCE USING A COPULA APPROACH

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Sebastian Alm; Joel Fredriksson Pregmark; [2023-06-29]
   Nyckelord :Credit Value Adjustment; Counterparty Credit Risk; Wrong Way Risk; Credit Default Swap; Semi-Analytical Model; Interest Rate Swap;

   Sammanfattning : This study examines the nature and background to the Credit Value Adjustment(CVA), a concept that has gained focus due the it’s heightened importance for financial institutions subsequent to the 2008 financial crisis. CVA can be defined as the the price that should be added to the bilateral defaultable contract to adjust for the existing Counterparty Credit Risk (CCR) so that the contract will have the same value as a corresponding risk-free contract. LÄS MER

3. 2. Study and Case of Wrong-Way Risk : Explorative Search for Wrong-Way Risk

   Magister-uppsats, Karlstads universitet/Handelshögskolan (from 2013)

   Författare :Jonathan Grönberg; [2019]
   Nyckelord :Wrong-way risk; Credit value adjustment; Debit value adjustment; Bilateral credit value adjustment; Felvägsrisk; Kreditvärdesjustering; Debetvärdesjustering; Bilateral kreditvärdesjustering;

   Sammanfattning : Usage of financial measurements that address the default probability of counterparties have been market practice for some time. Quantifying counterparty credit risk is usually done through the credit value adjustment which adjusts the value from a risk-free value to a risky value. LÄS MER

4. 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

5. 4. 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

7. 5. Credit Value Adjustment: The Aspects of Pricing Counterparty Credit Risk on Interest Rate Swaps

   Master-uppsats, KTH/Matematisk statistik

   Författare :Martin Hellander; [2015]
   Nyckelord :OTC derivatives; Credit Value Adjustment; Debit Value Adjustment; wrongway risk; interest rate swaps; LIBOR Market Model; Cox-Ingersoll-Ross process.;

   Sammanfattning : In this thesis, the pricing of counterparty credit risk on an OTC plain vanilla interest rate swap is investigated. Counterparty credit risk can be defined as the risk that a counterparty in a financial contract might not be able or willing to fulfil their obligations. This risk has to be taken into account in the valuation of an OTC derivative. LÄS MER