Essays about: "Credit Value Adjustment"

Showing result 6 - 10 of 16 essays containing the words Credit Value Adjustment.

1. 6. 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

3. 7. Hedging Error in CVA : Impact of inconsistency between simulation and pricing models

   University essay from KTH/Matematisk statistik

   Author : Greta Graziani; [2018]
   Keywords : ;

   Abstract : The aim of this thesis is to investigate thehedging error in Credit Value Adjustment (CVA) produced by using a model forthe simulation of the risk factors different from the one used in the pricingof the derivative contract. The hypothesis is that this inconsistency betweensimulation and pricing models affects the CVA leading to an error in thehedging of credit counterparty risk. READ MORE

4. 8. A study of the Basel III CVA formula

   University essay from

   Author : Rickard Olovsson; Erik Sundberg; [2017-07-03]
   Keywords : Basel III; Credit Value Adjustment; Counterparty Credit Risk; Credit Default Swap; Interest Rate Swap; Piecewise Constant Default Intensity; Bootstrapping; Expected Exposure; Internal Model Method;

   Abstract : In this thesis we compare the official Basel III method for computing credit value adjustment (CVA) against a model that assumes piecewise constant default intensities for a number of both market and fictive scenarios. CVA is defined as the price deducted from the risk-free value of a bilateral derivative to adjust for the counterparty credit risk. READ MORE

5. 9. 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

6. 10. CVA for IR-Swaps under Wrong Way Risk. A numerical evaluation using a semi-analytical model

   University essay from Göteborgs universitet/Graduate School

   Author : Berglind Halldórsdóttir; Weili Zhang; [2016-09-21]
   Keywords : Credit Value Adjustment; Wrong Way Risk; Interest Rate Swap; Credit Default Swap; Homogeneous CVA Portfolio; Heterogeneous CVA Portfolio; Semi-Analytical Model;

   Abstract : This thesis examines the background and nature of credit value adjustment (CVA), a concept that has heightened in its importance in the financial market after the 2008 financial crisis. Credit value adjustment is defined as a price deducted from the risk-free value of a bilateral derivative to adjust for the counterparty credit risk (CCR). READ MORE