Essays about: "Debit value adjustment"

Found 3 essays containing the words Debit value adjustment.

1. 1. 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

3. 2. Debit Value Adjustment & Funding Value Adjustment

   University essay from Uppsala universitet/Analys och sannolikhetsteori

   Author : Pierre Serti; Tom William; [2016]
   Keywords : ;

   Abstract : .... READ MORE

4. 3. 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