Advanced Estimation of Credit Valuation Adjustment

Title

Advanced Estimation of Credit Valuation Adjustment

Author

Feng, Q. (TU Delft Numerical Analysis)

Contributor

Oosterlee, C.W. (promotor)

Degree granting institution

Delft University of Technology

Date

2017-04-04

Subject

credit valuation adjustment (CVA)
bundling
least-squares method
Monte Carlo simulation
wrong way risk (WWR)
Bermudan option
expected exposure(EE)
potential future exposure (PFE)

To reference this document use:

https://doi.org/10.4233/uuid:4bc92859-1268-489a-b919-84ba827e65f6

ISBN

978-94-028-0589-5

Part of collection

Institutional Repository

Document type

doctoral thesis

Rights

© 2017 Q. Feng