Credit valuation adjustments with application to credit default swaps

Credit valuation adjustments with application to credit default swaps

The credit valuation adjustment (CVA) on an over-the-counter derivative transaction is the price of the risk associated with the potential default of the counterparties to the trade. This dissertation provides an introduction to the concept of CVA, beginning with the required backdrop of counterpart...

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Bibliographic Details
Main Author: Milwidsky, Cara
Other Authors: Prof. E Mare
Published: 2013
Subjects:
Credit default swap (cds)
Credit valuation adjustment (cva)
UCTD
Online Access:http://hdl.handle.net/2263/26050
Milwidsky, C 2011, Credit valuation adjustments with application to credit default swaps, MSc dissertation, University of Pretoria, Pretoria, viewed yymmdd < http://upetd.up.ac.za/thesis/available/ etd-07032012-130413/>
http://upetd.up.ac.za/thesis/available/etd-07032012-130413/

Internet

http://hdl.handle.net/2263/26050
Milwidsky, C 2011, Credit valuation adjustments with application to credit default swaps, MSc dissertation, University of Pretoria, Pretoria, viewed yymmdd < http://upetd.up.ac.za/thesis/available/ etd-07032012-130413/>
http://upetd.up.ac.za/thesis/available/etd-07032012-130413/

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