Sökning: "Counterparty Credit Risk"
Visar resultat 1 - 5 av 22 uppsatser innehållade orden Counterparty Credit Risk.
- Master-uppsats, Göteborgs universitet/Graduate School
Sammanfattning : MSc in Finance.... LÄS MER
Sammanfattning : In this thesis we compare the official Basel III method for computing credit value adjustment (CVA) against a model that assumes piecewise constant default intensities for a number of both market and fictive scenarios. CVA is defined as the price deducted from the risk-free value of a bilateral derivative to adjust for the counterparty credit risk. LÄS MER
3. Assesing counterparty risk classification using transition matrices : Comparing models' predictive abilityUppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistik; Umeå universitet/Institutionen för matematik och matematisk statistik
Sammanfattning : An important part when managing credit risk is to assess the probability of default of different counterparties. Increases and decreases in such probabil- ities are central components in the assessment, and this is where transition matrices become useful. LÄS MER
4. Counterparty Credit Exposures for Interest Rate Derivatives using Stochastic Grid Bundling Method and Change of MeasureMaster-uppsats, Lunds universitet/Matematisk statistik
Sammanfattning : The notional amounts outstanding of over-the-counter (OTC) derivatives had grown exponentially for almost two decades and its rapid growth were mainly due the increase in OTC interest rate derivatives. As of december 2014, the total notional amounts outstanding in the global OTC market was 630 trillions USD and the OTC interest rate derivatives represents about 80% of the market. LÄS MER
- Master-uppsats, Umeå universitet/Institutionen för fysik
Sammanfattning : The financial crisis and the bankruptcy of Lehman Brothers in 2008 lead to harder regulations for the banking industry which included larger capital reserves for the banks. One of the parts that contributed to this increased capital reserve was the the credit valuation adjustment capital charge which can be explained as the market value of the counterparty default risk. LÄS MER
BEVAKA DENNA SÖKNING
Få ett mail när det kommer in nya uppsatser på ämnet Counterparty Credit Risk.