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- W1855842918 abstract "In this thesis the topic Counterparty Credit Risk in OTC derivative transactionsis described and the pricing component arising from it, i.e., the Credit Value Adjustment(CVA), is discussed. The unilateral CVA and DVA are derived in the casewhere one party engaging in a transaction is assumed to be defaultable and bilateralCVA is derived in the case where both parties in a transaction are assumed tobe defaultable. In this context hedging aspects are also examined and risk-neutralpricing of CVA is discussed.The set-up of a numerical tool for CVA computations is then described anda simple tool for computing CVA for single interest rate swaps is developed. Inconnection the input data needed for the computations is discussed and a methodfor constructing proxy CDS spread curves, where there is a lack of quoted CDSspreads referenced to a particular counterparty in the market, is described.As a second part the relation between CVA from a regulatory perspective, drivenby the CVA capital charge introduced in the third Basel accord, CVA from anaccounting perspective, driven by IFRS, and CVA from a market perspective, as apotentially tradeable asset, is discussed. In connection to this the standardised andthe advanced approaches to computing the CVA capital charge are examined andthe similarities and dierences to the market CVA are claried. The implicationsof implementing CVA in the pricing of OTC derivatives within a bank are nallydiscussed." @default.
- W1855842918 created "2016-06-24" @default.
- W1855842918 creator A5050983765 @default.
- W1855842918 date "2013-01-01" @default.
- W1855842918 modified "2023-09-24" @default.
- W1855842918 title "Credit Value Adjustment" @default.
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