Advanced Estimation of Credit Valuation Adjustment

Qian Feng

doi:10.4233/uuid:4bc92859-1268-489a-b919-84ba827e65f6

Advanced Estimation of Credit Valuation Adjustment

Qian Feng

Numerical Analysis

Research output: Thesis › Dissertation (TU Delft)

339 Downloads (Pure)

Original language	English
Qualification	Doctor of Philosophy
Awarding Institution	Delft University of Technology
Supervisors/Advisors	Oosterlee, C.W., Supervisor
Thesis sponsors	STW Centrum Wiskunde & Informatica (CWI)
Award date	4 Apr 2017
Print ISBNs	978-94-028-0589-5
DOIs	https://doi.org/10.4233/uuid:4bc92859-1268-489a-b919-84ba827e65f6
Publication status	Published - 2017

Keywords

credit valuation adjustment (CVA)
bundling
least-squares method
Monte Carlo simulation
wrong way risk (WWR)
Bermudan option
expected exposure(EE)
potential future exposure (PFE)

Access to Document

10.4233/uuid:4bc92859-1268-489a-b919-84ba827e65f6

dissertation - Qian Feng updatedFinal published version, 3.15 MB

Cite this

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title = "Advanced Estimation of Credit Valuation Adjustment",

keywords = "credit valuation adjustment (CVA), bundling, least-squares method, Monte Carlo simulation, wrong way risk (WWR), Bermudan option, expected exposure(EE), potential future exposure (PFE)",

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language = "English",

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KW - bundling

KW - least-squares method

KW - Monte Carlo simulation

KW - wrong way risk (WWR)

KW - Bermudan option

KW - expected exposure(EE)

KW - potential future exposure (PFE)

UR - http://resolver.tudelft.nl/uuid:4bc92859-1268-489a-b919-84ba827e65f6

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M3 - Dissertation (TU Delft)

SN - 978-94-028-0589-5

ER -

Advanced Estimation of Credit Valuation Adjustment

Keywords

Access to Document

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