Counterparty credit risk, funding risk and central clearing

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Title: Counterparty credit risk, funding risk and central clearing
Authors: Zhang, Yang (Stephen)
Item Type: Thesis or dissertation
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.
Content Version: Open Access
Issue Date: Sep-2015
Date Awarded: May-2016
URI: http://hdl.handle.net/10044/1/61334
Supervisor: Biffis, Enrico
Department: Imperial College Business School
Publisher: Imperial College London
Qualification Level: Doctoral
Qualification Name: Doctor of Philosophy (PhD)
Appears in Collections:Imperial College Business School PhD theses



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