kth.sePublications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Credit Valuation Adjustment: In theory and practice
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
2014 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

This thesis is intended to give an overview of creditvaluation adjustment (CVA) and adjacent concepts. Firstly, the historicalevents that preceded the initiative to reform the Basel regulations and tointroduce CVA as a core component of counterparty credit risk are illustrated.After some conceptual background material, a journey is taken through theregulatory aspects of CVA. The three most commonly used methods for calculatingthe regulatory CVA capital charge are explained in detail and potentialchallenges with the methods are addressed. Further, the document analyses ingreater depth two of the methods; the internal model method (IMM) and thecurrent exposure method (CEM). The differences between these two methods areexplained mathematically and analysed. This comparison is supported bysimulations of portfolios containing interest rate swap contracts with differenttime to maturity and of counterparties with varying credit ratings. Oneconcluding observations is that credit valuation adjustment is a measure of centralimportance within counterparty credit risk. Further, it is shown that IMM has someimportant advantages over CEM, especially when it comes to model connection withreality. Finally, some possible future work to be done within the topic area is suggested.

Place, publisher, year, edition, pages
2014.
Series
TRITA-MAT-E ; 2014:08
Keywords [en]
Basel II, Basel III, OTC Derivatives, Credit Valuation Adjustment, CVA
National Category
Mathematical Analysis
Identifiers
URN: urn:nbn:se:kth:diva-140841OAI: oai:DiVA.org:kth-140841DiVA, id: diva2:692743
External cooperation
Swedbank
Subject / course
Mathematical Statistics
Educational program
Master of Science in Engineering -Engineering Physics
Supervisors
Examiners
Available from: 2014-01-31 Created: 2014-01-31 Last updated: 2022-06-23Bibliographically approved

Open Access in DiVA

fulltext(1020 kB)5427 downloads
File information
File name FULLTEXT01.pdfFile size 1020 kBChecksum SHA-512
174f10c81b99f397d5c5fe7a100628b87564775819013f4ab9c4c0da5b59ec34272bce7edf4becc7139d19dd67e1703672949c93955a5d7e66700c9c4772ea3a
Type fulltextMimetype application/pdf

By organisation
Mathematical Statistics
Mathematical Analysis

Search outside of DiVA

GoogleGoogle Scholar
Total: 5427 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

urn-nbn

Altmetric score

urn-nbn
Total: 1526 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf