Advanced Estimation of Credit Valuation Adjustment

Doctoral thesis (2017)

Authors

Q. Feng Numerical Analysis - EEMCS
Research Group
Numerical Analysis (EEMCS) (TU Delft)
Copyright: © 2017 Q. Feng
DOI
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https://doi.org/10.4233/uuid:4bc92859-1268-489a-b919-84ba827e65f6
Monte Carlo simulation Credit valuation adjustment (CVA) Least-squares method Wrong way risk (WWR) Bermudan option Expected exposure(EE) Potential future exposure (PFE) bundling
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Published Date

2017

Language

English

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Faculty

Electrical Engineering, Mathematics and Computer Science

Department

Delft Institute of Applied Mathematics

Research Group

Numerical Analysis