Credit Value Adjustment
(2015) FMS820 20151Mathematical Statistics
- Abstract (Swedish)
- This thesis is intended to give an overview of credit valuation adjustment (CVA) and
adjacent concepts. Two commonly used short-rate models in pricing the CVA are explained
in detail and potential challenges with the methods are addressed. The differences
between these two models are explained mathematically and analysed. After
some conceptual background material, a simple tool for computing CVA for both single
interest rate swaps and for portfolios are developed. This comparison is supported by
simulations of portfolios containing interest rate swap contracts with dierent time to
maturity.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/7359874
- author
- Hultkrantz, Pontus and Jarf, Samare
- supervisor
- organization
- course
- FMS820 20151
- year
- 2015
- type
- H2 - Master's Degree (Two Years)
- subject
- language
- English
- id
- 7359874
- date added to LUP
- 2015-06-16 15:13:12
- date last changed
- 2015-06-18 14:04:28
@misc{7359874, abstract = {{This thesis is intended to give an overview of credit valuation adjustment (CVA) and adjacent concepts. Two commonly used short-rate models in pricing the CVA are explained in detail and potential challenges with the methods are addressed. The differences between these two models are explained mathematically and analysed. After some conceptual background material, a simple tool for computing CVA for both single interest rate swaps and for portfolios are developed. This comparison is supported by simulations of portfolios containing interest rate swap contracts with dierent time to maturity.}}, author = {{Hultkrantz, Pontus and Jarf, Samare}}, language = {{eng}}, note = {{Student Paper}}, title = {{Credit Value Adjustment}}, year = {{2015}}, }