Calculation of Credit Value Adjustment (CVA) and its VaR under Basel III Counterparty Credit Risk Framework
碩士 === 國立清華大學 === 計量財務金融學系 === 103 === Counterparty credit risk is basically the credit risk between over-the-counter (OTC) derivatives counterparties. Given the huge size of global OTC derivatives markets, counterparty credit risk has always be important. However, for many years before the 2007...
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| Format: | Others |
| Language: | en_US |
| Published: |
2015
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| Online Access: | http://ndltd.ncl.edu.tw/handle/73583421941324948979 |