Essays about: "Rickard Olovsson"

Found 1 essay containing the words Rickard Olovsson.

  1. 1. 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