Advanced Estimation of Credit Valuation Adjustment

Qian Feng

Research output: ThesisDissertation (TU Delft)

339 Downloads (Pure)
Original languageEnglish
QualificationDoctor of Philosophy
Awarding Institution
  • Delft University of Technology
Supervisors/Advisors
  • Oosterlee, C.W., Supervisor
Thesis sponsors
Award date4 Apr 2017
Print ISBNs978-94-028-0589-5
DOIs
Publication statusPublished - 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)

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