Credit Value Adjustment: The Aspects of Pricing Counterparty Credit Risk on Interest Rate Swaps
In this thesis, the pricing of counterparty credit risk on an OTC plain vanilla interest rate swap is investigated. Counterparty credit risk can be defined as the risk that a counterparty in a financial contract might not be able or willing to fulfil their obligations. This risk has to be taken into...
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| Format: | Others |
| Language: | English |
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KTH, Matematisk statistik
2015
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-173225 |