Credit valuation adjustments with application to credit default swaps

dc.contributor.advisorMare, Ebenen
dc.contributor.emailcmilwidsky@gmail.comen
dc.contributor.postgraduateMilwidsky, Caraen
dc.date.accessioned2013-09-07T02:11:52Z
dc.date.available2012-07-03en
dc.date.available2013-09-07T02:11:52Z
dc.date.created2012-04-13en
dc.date.issued2012-07-03en
dc.date.submitted2012-07-03en
dc.descriptionDissertation (MSc)--University of Pretoria, 2012.en
dc.description.abstractThe 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. Copyrighten
dc.description.availabilityunrestricteden
dc.description.departmentMathematics and Applied Mathematicsen
dc.identifier.citationMilwidsky, 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/>en
dc.identifier.otherE12/4/469/hjen
dc.identifier.upetdurlhttp://upetd.up.ac.za/thesis/available/etd-07032012-130413/en
dc.identifier.urihttp://hdl.handle.net/2263/26050
dc.language.isoen
dc.publisherUniversity of Pretoriaen_ZA
dc.rights© 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 Pretorien
dc.subjectCredit default swap (cds)en
dc.subjectCredit valuation adjustment (cva)en
dc.subjectUCTDen_US
dc.titleCredit valuation adjustments with application to credit default swapsen
dc.typeDissertationen

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