# Sökning: "CVA"

Visar resultat 1 - 5 av 20 uppsatser innehållade ordet CVA.

1. ## 1. Efficient Monte Carlo Simulation for Counterparty Credit Risk Modeling

Master-uppsats, KTH/Matematisk statistik

Sammanfattning : In this paper, Monte Carlo simulation for CCR (Counterparty Credit Risk) modeling is investigated. A jump-diffusion model, Bates' model, is used to describe the price process of an asset, and the counterparty default probability is described by a stochastic intensity model with constant intensity. LÄS MER

2. ## 2. X-Value Adjustments for Interest Rate Derivatives

Master-uppsats, KTH/Matematisk statistik

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

3. ## 3. An Evaluation of Swedish Municipal Borrowing via Nikkei-linked Loans

Sammanfattning : In this master thesis, we compare three different types of funding alternatives from a Swedish municipality's point of view, with the main focus on analysing a Nikkei-linked loan. We do this by analysing the resulting interest rate and the expected exposures, taking collateral into consideration. LÄS MER

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

Master-uppsats, KTH/Matematisk statistik

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

5. ## 5. A study of the Basel III CVA formula

Kandidat-uppsats,

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