Essays about: "Credit Valuation Adjustment"

Showing result 6 - 10 of 11 essays containing the words Credit Valuation Adjustment.

  1. 6. 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. 7. 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

  4. 8. Credit Value Adjustment: The Aspects of Pricing Counterparty Credit Risk on Interest Rate Swaps

    University essay from KTH/Matematisk statistik

    Author : Martin Hellander; [2015]
    Keywords : OTC derivatives; Credit Value Adjustment; Debit Value Adjustment; wrongway risk; interest rate swaps; LIBOR Market Model; Cox-Ingersoll-Ross process.;

    Abstract : In this thesis, the pricing of counterparty credit risk on an OTC plain vanilla interest rate swap is investigated. Counterparty credit risk can be defined as the risk that a counterparty in a financial contract might not be able or willing to fulfil their obligations. This risk has to be taken into account in the valuation of an OTC derivative. READ MORE

  5. 9. Valuation of Interest Rate Swaps in the presence of Counterparty Credit Risk

    University essay from Göteborgs universitet/Graduate School

    Author : Robin Axelsson; [2014-11-26]
    Keywords : Interest Rate Swaps; Counterparty Credit Risk;

    Abstract : Insuring debt through credit default swaps (CDS) and collateralized debt obligations (CDO) has become increasingly more popular. Recent events such as the financial crisis of 2008 have shown that the credit models for these insurances have lacked severely in certain aspects. READ MORE

  6. 10. 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