Interest Rate Swap Credit Valuation Adjustment
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KeywordsCounterparty Credit Risk; Credit Valuation Adjustment; Wrong-way Risk; Risky Swaption Price; Semi-analytical Formula; Interest Rate Swap Pricecointegration test;
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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