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X-Value Adjustments for Interest Rate Derivatives
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
2018 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesisAlternative title
X-värdes justeringar för räntederivat (Swedish)
Abstract [en]

In this report, we present the X-Value Adjustments and we introduce a simulation approach to compute these adjustments. We present the steps for the calculation of the Credit Value Adjustment (CVA) on interest rate derivatives as a practical example.

An important part of the report will focus on the different methods to compute the expected future exposure. In this context, we consider two methods based on Monte Carlo simulations in order to compute the expected exposure. We study also the G2++ interest rate model used for the simulations and we detail the calibration process and apply it on market data.

Abstract [sv]

I den här rapporten presenterar vi definitioner och formler för X-värdes justeringar, XVA (eng. X Value Adjustment), samt en simuleringsbaserad teknik för att beräkna dessa justeringar.

Som ett praktiskt exempel presenteras stegen för beräkning av CVA (eng. Credit Value Adjustment) för räntederivat. En viktig del av rapporten fokuserar på de olika metoderna för att beräkna den förväntade framtida exponeringen (eng. expected future exposure).

Vi studerar två metoder baserade på Monte Carlo-simuleringar. Också G2++-modellen som används för simuleringarna presenteras, liksom detaljerna i kalibreringsprocessen och denna tillämpas sedan på marknadsdata.

Place, publisher, year, edition, pages
2018.
Series
TRITA-SCI-GRU ; 2018:254
National Category
Computational Mathematics
Identifiers
URN: urn:nbn:se:kth:diva-229966OAI: oai:DiVA.org:kth-229966DiVA, id: diva2:1221305
External cooperation
Natixis
Subject / course
Financial Mathematics
Educational program
Master of Science in Engineering -Engineering Physics
Supervisors
Examiners
Available from: 2018-06-19 Created: 2018-06-19 Last updated: 2018-06-19Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
  • ieee
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Language
  • de-DE
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  • nn-NB
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  • Other locale
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Output format
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