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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
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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