Use this URL to cite or link to this record in EThOS: https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.754640
Title: Counterparty credit risk, funding risk and central clearing
Author: Zhang, Yang (Stephen)
ISNI:       0000 0004 7427 6595
Awarding Body: Imperial College London
Current Institution: Imperial College London
Date of Award: 2016
Availability of Full Text:
Access from EThOS:
Access from Institution:
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.
Supervisor: Biffis, Enrico Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.754640  DOI:
Share: