Essays about: "CVA capital charge"

Found 3 essays containing the words CVA capital charge.

1. 1. Credit Risk Modeling and Implementation

   University essay from Umeå universitet/Institutionen för fysik

   Author : Johan Gunnars; [2017]
   Keywords : CVA; CDS; hazard rate;

   Abstract : The financial crisis and the bankruptcy of Lehman Brothers in 2008 lead to harder regulations for the banking industry which included larger capital reserves for the banks. One of the parts that contributed to this increased capital reserve was the the credit valuation adjustment capital charge which can be explained as the market value of the counterparty default risk. READ MORE

3. 2. 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

4. 3. Credit Value Adjustment

   University essay from Lunds universitet/Matematisk statistik

   Author : Johan Ahlberg; [2013]
   Keywords : Basel III; Bilateral CVA; Counterparty credit risk; Credit value adjustment; CVA; CVA capital charge; DVA; OTC derivatives.; Mathematics and Statistics;

   Abstract : In this thesis the topic Counterparty Credit Risk in OTC derivative transactions is described and the pricing component arising from it, i.e., the Credit Value Adjustment (CVA), is discussed. READ MORE