Value at Risk of Derivatives including Counterparty Credit Risk and Wrong Way Risk
碩士 === 國立清華大學 === 計量財務金融學系 === 104 === In this work we find out values at risk (VaRs) of credit default swap (CDS), interest rate swap (IRS) and stock option, including counterparty credit risk (CCR). In order to emphasize the effect of CCR, we assume that short rate and intensity are both Vasicek m...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2016
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| Online Access: | http://ndltd.ncl.edu.tw/handle/48778720801399318227 |