Sökning: "Otto Franzen"

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  1. 1. Credit Valuation Adjustment: In theory and practice

    Master-uppsats, KTH/Matematisk statistik

    Författare :Dan Franzén; Otto Sjöholm; [2014]
    Nyckelord :Basel II; Basel III; OTC Derivatives; Credit Valuation Adjustment; CVA;

    Sammanfattning : This thesis is intended to give an overview of creditvaluation adjustment (CVA) and adjacent concepts. Firstly, the historicalevents that preceded the initiative to reform the Basel regulations and tointroduce CVA as a core component of counterparty credit risk are illustrated. LÄS MER