Essays about: "xVA"
Found 4 essays containing the word xVA.
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1. Neural Networks for Credit Risk and xVA in a Front Office Pricing Environment
University essay from Lunds universitet/Matematisk statistikAbstract : We present a data-driven proof of concept model capable of reproducing expected counterparty credit exposures from market and trade data. The model has its greatest advantages in quick single-contract exposure evaluations that could be used in front office xVA solutions. The data was generated using short rates from the Hull-White One-Factor model. READ MORE
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2. Efficient Barrier Option Greeks using Automatic Differentation
University essay from Lunds universitet/Matematisk statistikAbstract : Automatic Differentiation (AD) is an effective method for calculation of derivatives. It can evaluate an unlimited number of derivatives to a fixed cost relative to the computing time of the original function. The AD technique is used in many fields for large and complex calculations in order to get accurate values of derivatives fast. READ MORE
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3. X-Value Adjustments for Interest Rate Derivatives
University essay from KTH/Matematisk statistikAbstract : 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. READ MORE
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4. DVA in the Structured Notes Issuance Portfolio
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : This thesis focus on the issuer credit risk in financial derivatives held by a structured notes desk. Post-crisis derivative valuation includes valuation adjustments for credit, collateral and funding risk, commonly referred to as xVA. READ MORE
