Counterparty credit risk, funding risk and central clearing

descriptionPublicationkeyboard_double_arrow_right Other literature type , Thesis , Doctoral thesis 01 Jan 2015Embargo end date: 30 Jul 2018 United Kingdom Publisher:Imperial College London

Authors: Zhang, Yang (Stephen);

doi: 10.25560/61334

handle: 10044/1/61334

Counterparty credit risk, funding risk and central clearing

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Abstract

In this thesis we have a review of the critical issues of CVA/DVA/FVA pricing framework, provide detailed economic interpretations of these xVA terms and present empirical studies on DVA hedging practice in the marketplace and a new approach to hedge DVAs. The economic drivers and implications of central clearing and initial margins on derivatives are addressed as well.

Country

United Kingdom

Related Organizations

Imperial College London
United Kingdom

Keywords

330, 650

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