Credit Valuation Adjustment for Interest Rate Swap with Counterparty Credit Risk in the Local Volatility LM Model
碩士 === 東吳大學 === 財務工程與精算數學系 === 102 === The Basel III Accord will counterparty credit risk (CCR) to adjust the value called credit valuation adjustment (CVA). Recent literatures suggest that investor and counterparty may default, and therefore the bilateral counterparty credit risk (BCCR) is proposed...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2014
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| Online Access: | http://ndltd.ncl.edu.tw/handle/xdgb22 |