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Thesis

Impact of wrong-way risk on margin valuation adjustment

Abstract:

Valuation adjustments (XVA) have grown in popularity and importance since the Financial Crisis. In the post-Crisis environment, the value of a derivative can no longer be calculated simply as the risk-free price from by Black-Scholes theory, but other aspect, such as credit risk need to be accounted for as well. New regulations following the Crisis impose collateral requirements on over-the-counter derivatives, where initial and variation margin must be exchanged between trading counterpar...

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Division:
MPLS
Department:
Mathematical Institute
Role:
Author

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Role:
Supervisor
Type of award:
MSc
Level of award:
Masters
Awarding institution:
University of Oxford
Language:
English
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Deposit date:
2021-07-22

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