Two Essays in Financial Engineering
This dissertation consists of two parts. In the first part, we investigate the potential impact of wrong-way risk on calculating credit valuation adjustment (CVA) of a derivatives portfolio. A credit valuation adjustment (CVA) is an adjustment applied to the value of a derivative contract or a portf...
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| Language: | English |
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2015
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| Online Access: | https://doi.org/10.7916/D8K35T1M |