Credit Valuation Adjustment and Pricing for Interest Rate Swap with Conterparty Credit Risk
碩士 === 東吳大學 === 財務工程與精算數學系 === 101 === Counterparty credit risk (CCR) is a contract within the validity period counterparties fail to fulfill a contractual obligation may result in the risk of loss. Basel Committee on Banking Supervision in 2011 report that the 2008 financial tsunami, the about two-...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2013
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| Online Access: | http://ndltd.ncl.edu.tw/handle/75943940473995865604 |