Sökning: "CCR"
Visar resultat 1 - 5 av 20 uppsatser innehållade ordet CCR.
1. ON THE CVA OF CREDIT DEFAULT SWAPS: THE IMPLICATION OF DEPENDENCE USING A COPULA APPROACH
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : This study examines the nature and background to the Credit Value Adjustment(CVA), a concept that has gained focus due the it’s heightened importance for financial institutions subsequent to the 2008 financial crisis. CVA can be defined as the the price that should be added to the bilateral defaultable contract to adjust for the existing Counterparty Credit Risk (CCR) so that the contract will have the same value as a corresponding risk-free contract. LÄS MER
2. Modelling Proxy Credit Cruves Using Recurrent Neural Networks
Master-uppsats, KTH/Matematisk statistikSammanfattning : Since the global financial crisis of 2008, regulatory bodies worldwide have implementedincreasingly stringent requirements for measuring and pricing default risk in financialderivatives. Counterparty Credit Risk (CCR) serves as the measure for default risk infinancial derivatives, and Credit Valuation Adjustment (CVA) is the pricing method used toincorporate this default risk into derivatives prices. LÄS MER
3. A Study of Risk Factor Models: Theoretical Derivations and Practical Applications
Master-uppsats, KTH/Matematik (Avd.)Sammanfattning : This thesis provides an end-to-end picture of the modelling of interest rates and Foreign Exchange (FX) rates. We start by defining the FX rates and the interest rates. After having a good understanding of the basics, we take a deep dive into the approaches commonly used to model interest rates and FX rates respectively. LÄS MER
4. Developing a reproducible bioinformatics workflow for canine inherited retinal disease
Master-uppsats, Uppsala universitet/Institutionen för biologisk grundutbildningSammanfattning : Inherited Retinal Degenerations (IRDs) are a heterogenous group of diseases which lead to vision impairment and can be found both in humans and in dogs. About 1 in 1,380 humans is estimated to suffer from an autosomal recessive IRD, which would be 5.5 million people worldwide, and many more are estimated to be unaffected carriers. LÄS MER
5. A comparison of the Basel III capital requirement models for financial institutions
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : The purpose of this report is to implement and compare the two Basel III standard methods on how to calculate the capital requirement for finan- cial institutions, related to counterparty credit risk. The models being the Standardized Approach for Counterparty Credit Risk (SA-CCR) and the Internal Model Method (IMM). LÄS MER