Hedging Error in CVA : Impact of inconsistency between simulation and pricing models
The aim of this thesis is to investigate thehedging error in Credit Value Adjustment (CVA) produced by using a model forthe simulation of the risk factors different from the one used in the pricingof the derivative contract. The hypothesis is that this inconsistency betweensimulation and pricing mod...
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| Format: | Others |
| Language: | English |
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KTH, Matematisk statistik
2018
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-229722 |