Essays about: "CVA"

Showing result 1 - 5 of 23 essays containing the word CVA.

  1. 1. Pastoral Nostalgia and Digital Media: A Case Study Exploring Nostalgia Communication in Li Ziqi’s Online Short Videos

    University essay from Uppsala universitet/Institutionen för informatik och media

    Author : Jinpei Deng; [2020]
    Keywords : Nostalgia; pastoral nostalgia; short videos; new media; Li Ziqi; communication; critical visual analysis; semiotics; remix; Sina Weibo; online videos; digital;

    Abstract : The primary goal of this study is to observe how the meaning of nostalgia is negotiated and remediated in Li Ziqi’s short videos, and understand the construction and expression of pastoral images in the video, by examining its social modality of the audiencing site and the compositional and social modalities of the image site through a Critical Visual Approach(CVA). Except for CVA, Remix as a thinking tool helps to frame data selection, mixed methods and theories throughout. READ MORE

  2. 2. On the Proxy Modelling of Risk-Neutral Default Probabilities

    University essay from KTH/Matematisk statistik

    Author : Edvin Lundström; [2020]
    Keywords : Counterparty Credit Risk; Credit Valuation Adjustment; CVA; Credit modelling; Reduced form model; Proxy model; Hazard rate; Cross-section model; Nomura model; Motpartsrisk; Kreditvärderingsjustering; CVA; Kreditmodellering; Proxymodellering; Nomuramodellen;

    Abstract : Since the default of Lehman Brothers in 2008, it has become increasingly important to measure, manage and price the default risk in financial derivatives. Default risk in financial derivatives is referred to as counterparty credit risk (CCR). The price of CCR is captured in Credit Valuation Adjustment (CVA). READ MORE

  3. 3. Study and Case of Wrong-Way Risk : Explorative Search for Wrong-Way Risk

    University essay from Karlstads universitet/Handelshögskolan (from 2013)

    Author : Jonathan Grönberg; [2019]
    Keywords : Wrong-way risk; Credit value adjustment; Debit value adjustment; Bilateral credit value adjustment; Felvägsrisk; Kreditvärdesjustering; Debetvärdesjustering; Bilateral kreditvärdesjustering;

    Abstract : Usage of financial measurements that address the default probability of counterparties have been market practice for some time. Quantifying counterparty credit risk is usually done through the credit value adjustment which adjusts the value from a risk-free value to a risky value. READ MORE

  4. 4. Efficient Monte Carlo Simulation for Counterparty Credit Risk Modeling

    University essay from KTH/Matematisk statistik

    Author : Sam Johansson; [2019]
    Keywords : CCR; OTC derivatives; European option; Bermudan option; CVA; jump-diffusion model; stochastic intensity model; Monte Carlo; variance reduction; importance sampling; least squares Monte Carlo; CCR; OTC-derivat; europeisk option; Bermuda-option; CVA; jump-diffusion-modell; stokastisk intensitetsmodell; Monte Carlo; variansreduktion; importance sampling; least squares Monte Carlo;

    Abstract : 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. READ MORE

  5. 5. X-Value Adjustments for Interest Rate Derivatives

    University essay from KTH/Matematisk statistik

    Author : Mehdi Belkotain; [2018]
    Keywords : ;

    Abstract : 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