Counterparty credit risk, funding risk and central clearing
File(s)
Author(s)
Zhang, Yang (Stephen)
Type
Thesis
Abstract
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 central clearing and initial margins on derivatives are addressed as well.
Version
Open Access
Date Issued
2015-09
Date Awarded
2016-05
Copyright Statement
Attribution NoDerivatives 4.0 International Licence (CC BY-ND)
Advisor
Biffis, Enrico
Publisher Department
Imperial College Business School
Publisher Institution
Imperial College London
Qualification Level
Doctoral
Qualification Name
Doctor of Philosophy (PhD)