Essays about: "Dan Franzén"

Found 1 essay containing the words Dan Franzén.

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

    University essay from KTH/Matematisk statistik

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

    Abstract : 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. READ MORE