@misc{9239483,
  abstract     = {{This thesis investigates whether the unilateral credit valuation adjustment (CVA) of
plain-vanilla interest rate swap portfolios can be approximated accurately using a pre-
computed library of basis-swap CVAs, avoiding the cost of full Monte Carlo revaluation.
The approximation is constructed to require only a yield curve, a swaption volatility
surface, and counterparty CDS spreads as inputs. The method is evaluated against a
Monte Carlo benchmark for counterparties from three sectors and across four interest-rate
models: the Hull–White one-factor, Hull–White two-factor, shifted Cox–Ingersoll–Ross,
and a stochastic-volatility Hull–White model. The estimation achieves a mean absolute
percentage error of 20–24% across models. Introducing a scalar adjustment to the netting
ratio reduces the MAPE to 16.1%. The results indicate that the estimation could have
practical use for fast intraday calculation of CVA but as a complement rather than a
substitute for full Monte Carlo CVA.}},
  author       = {{Saleem Almgren, Anton and Mozaffari, Saadat}},
  issn         = {{1404-6342}},
  language     = {{eng}},
  note         = {{Student Paper}},
  series       = {{Master's Theses in Mathematical Sciences}},
  title        = {{Approximating Unilateral CVA for Interest Rate Swap Portfolios}},
  year         = {{2026}},
}