Dear all,
I'm a student graduating in a two year master in Quantitative Finance. I'm writing my final thesis on xVAs.
At the moment I'm dealing with the last part of my thesis concerning a case study. This is a simplified case study in which counterparties are assumed to be default - free, for this reason the only xVA I'm going to compute is ColVA (which can also be considered as FVA in this case). The purpose of the case study is to analyze the impact of negative interest rates on the adjustment calculation. I've to consider an option on the adjustment referring to the fact that, if interest rates are negative, interest rates will be floored to zero.
Then I will have to create different scenarios.
At the moment, I have the OIS yield curve and the Euribor (1M, 3M, 6M and 1Y) yield curve and I would like to compute the Euribos - OIS spread. However, I feel lost, probably because I'm not so used to this kind of practical cases (my fault and too much theoretical lessons), I would kindly ask you to give me some hints in order to better understand what kind of steps I will have to follow. The pressure for the final delivery is confusing me.
Thank you all in advance,
Stefania
I'm a student graduating in a two year master in Quantitative Finance. I'm writing my final thesis on xVAs.
At the moment I'm dealing with the last part of my thesis concerning a case study. This is a simplified case study in which counterparties are assumed to be default - free, for this reason the only xVA I'm going to compute is ColVA (which can also be considered as FVA in this case). The purpose of the case study is to analyze the impact of negative interest rates on the adjustment calculation. I've to consider an option on the adjustment referring to the fact that, if interest rates are negative, interest rates will be floored to zero.
Then I will have to create different scenarios.
At the moment, I have the OIS yield curve and the Euribor (1M, 3M, 6M and 1Y) yield curve and I would like to compute the Euribos - OIS spread. However, I feel lost, probably because I'm not so used to this kind of practical cases (my fault and too much theoretical lessons), I would kindly ask you to give me some hints in order to better understand what kind of steps I will have to follow. The pressure for the final delivery is confusing me.
Thank you all in advance,
Stefania
