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Credit Value Adjustment

Hultkrantz, Pontus and Jarf, Samare (2015) FMS820 20151
Mathematical 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:
author
Hultkrantz, Pontus and Jarf, Samare
supervisor
organization
course
FMS820 20151
year
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},
}