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Thesis

Credit Valuation Adjustment

Abstract:

Credit risk has become a topical issue since the 2007 Credit Crisis, particularly for its impact on the valuation of OTC derivatives. This becomes critical when the credit risk of entities involved in a contract either as underlying or counterparty become highly correlated as is the case during macroeconomic shocks. It impacts the valuation of such contracts through an additional term, the credit valuation adjustment (CVA). This can become large with such correlation. This thesis outlines the...

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Frederick Hoffman More by this author
Publication date:
2011-06-24
URN:
uuid:eefd58cc-b0b8-41a6-b1d7-2cfd39476d59
Local pid:
oai:eprints.maths.ox.ac.uk:1374

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