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