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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Bibliographic Details
Main Author: Yang, Linan
Language:English
Published: 2015
Subjects:
Online Access:https://doi.org/10.7916/D8K35T1M

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