Essays about: "Credit Valuation Adjustment"

Showing result 1 - 5 of 9 essays containing the words Credit Valuation Adjustment.

  1. 1. 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

  2. 2. 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

  3. 3. An Extreme Value Approach To Pricing Credit Risk

    University essay from Lunds universitet/Matematisk statistik

    Author : Sofia Landin; [2018]
    Keywords : Credit Risk; Credit Default Swap; Credit Valuation Adjustment; Extreme Value Theory; Generalized Extreme Value Distribution; Gumbel Distribution; Generalized Pareto Distribution; Block Maxima; Peak-over-Threshold; Probable Maximum Loss; Mathematics and Statistics;

    Abstract : An Extreme Value Approach To Pricing Credit Risk will outline the possibility to investigate a company’s price of risk over different time periods given a pre-defined risk level. With help of credit default swap (CDS) prices and extreme value theory the credit risk can be estimated for different return levels. READ MORE

  4. 4. 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

  5. 5. DVA in the Structured Notes Issuance Portfolio

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Sebastian Sohl; [2016]
    Keywords : xVA; DVA; Structured Notes;

    Abstract : 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