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Credit valuation adjustments with application to credit default swaps
Dissertation (MSc)--University of Pretoria, 2012.
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| Format: | Thesis |
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University of Pretoria
2013
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| _version_ | 1867613564915679232 |
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| access_status_str | Open Access |
| author2 | Mare, Eben |
| author_browse | Mare, Eben |
| author_facet | Mare, Eben |
| collection | Thesis |
| dc_rights_str_mv | © 2011, University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretori |
| description | Dissertation (MSc)--University of Pretoria, 2012. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/26050 |
| institution | University of Pretoria (South Africa) |
| last_indexed | 2026-06-10T12:38:09.710Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2013 |
| publishDateRange | 2013 |
| publishDateSort | 2013 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/26050 Credit valuation adjustments with application to credit default swaps Mare, Eben cmilwidsky@gmail.com Milwidsky, Cara Credit default swap (cds) Credit valuation adjustment (cva) UCTD Dissertation (MSc)--University of Pretoria, 2012. 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 counterparty risk and the basics of default risk modelling. Right and wrong way risks are central themes of the dissertation. A model for the pricing of both the unilateral and the bilateral CVA on a credit default swap (CDS) is implemented. Each step of this process is explained thoroughly. Results are reported and discussed for a range of parameters. The trends observed in the CDS CVA numbers produced by the model are all justified and the right and wrong way nature of the exposures captured. In addition, the convergence and stability of the numerical schemes utilised are shown to be appropriate. A case study, in which the model is applied to a set of market scenarios, concludes the dissertation. Since the field is far from established, a number of areas are suggested for further research. Copyright Mathematics and Applied Mathematics unrestricted 2013-09-07T02:11:52Z 2012-07-03 2013-09-07T02:11:52Z 2012-04-13 2012-07-03 2012-07-03 Dissertation 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/> E12/4/469/hj http://hdl.handle.net/2263/26050 http://upetd.up.ac.za/thesis/available/etd-07032012-130413/ © 2011, University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretori application/pdf University of Pretoria |
| spellingShingle | Credit default swap (cds) Credit valuation adjustment (cva) UCTD Credit valuation adjustments with application to credit default swaps |
| title | Credit valuation adjustments with application to credit default swaps |
| title_full | Credit valuation adjustments with application to credit default swaps |
| title_fullStr | Credit valuation adjustments with application to credit default swaps |
| title_full_unstemmed | Credit valuation adjustments with application to credit default swaps |
| title_short | Credit valuation adjustments with application to credit default swaps |
| title_sort | credit valuation adjustments with application to credit default swaps |
| topic | Credit default swap (cds) Credit valuation adjustment (cva) UCTD |
| url | http://hdl.handle.net/2263/26050 http://upetd.up.ac.za/thesis/available/etd-07032012-130413/ |