Counterpaty credit risk modelling using linear Gaussian two factor model (G2++) and Libor Market Model
Abstract (Credit Valuation Adjustment (CVA) is a measurement tool that quantifies Counterparty Credit Risk (CCR) or the possibility of the counterparty not being able to fulfil its contractual obligations. The Hull-White One Factor Model (HW1F) is the most commonly used short rate model in CVA calcu...
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| Format: | Thesis |
| Jezik: | English |
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