Essays about: "Credit Value Adjustment"

Showing result 11 - 15 of 16 essays containing the words Credit Value Adjustment.

  1. 11. 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

  3. 12. 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

  4. 13. 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

  5. 14. Modeling CVA for interest rate swaps in a CIR-framework

    University essay from Göteborgs universitet/Graduate School

    Author : Ge Chen; Lukas Norman; [2013-07-02]
    Keywords : ;

    Abstract : Knowing the true Counterparty Credit Risk (CCR) and accurately account for it, is vital in maintaining a stable financial system. The Basel committee noted that during the financial crisis of 2008-2009, about 70% of losses related to CCR actually came from volatility in the Credit Value Adjustment (CVA) instead of actual defaults. READ MORE

  6. 15. 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