Counterparty credit risk, funding risk and central clearing
In this thesis we have a review of the critical issues of CVA/DVA/FVA pricing framework, provide detailed economic interpretations of these xVA terms and present empirical studies on DVA hedging practice in the marketplace and a new approach to hedge DVAs. The economic drivers and implications of ce...
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Imperial College London
2015
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| Online Access: | https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.754640 |