Browsing by Author "Khanh, Huynh Phuong"
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Credit valuation adjustment capital charge under basel III on interest rate swap
Khanh, Huynh Phuong (International University - HCMC, 2017)This thesis aims to provide an overview of Credit Valuation Adjustment (CVA) Capital Charge introduced in Basel III together with its importance for banks’ solvency position and the illustration of computing CVA capital. ...