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1. 1. X-Value Adjustments for Interest Rate Derivatives

   University essay from KTH/Matematisk statistik

   Author : Mehdi Belkotain; [2018]
   Keywords : ;

   Abstract : In this report, we present the X-Value Adjustments and we introduce a simulation approach to compute these adjustments. We present the steps for the calculation of the Credit Value Adjustment (CVA) on interest rate derivatives as a practical example. READ MORE