Sökning: "Counterparty Credit Risk"

Visar resultat 1 - 5 av 23 uppsatser innehållade orden Counterparty Credit Risk.

  1. 1. Hedging Error in CVA : Impact of inconsistency between simulation and pricing models

    Master-uppsats, KTH/Matematisk statistik

    Författare :Greta Graziani; [2018]
    Nyckelord :;

    Sammanfattning : The aim of this thesis is to investigate thehedging error in Credit Value Adjustment (CVA) produced by using a model forthe simulation of the risk factors different from the one used in the pricingof the derivative contract. The hypothesis is that this inconsistency betweensimulation and pricing models affects the CVA leading to an error in thehedging of credit counterparty risk. LÄS MER

  2. 2. Counterparty Credit Risk Efficieny of Central Clearing

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Felix Salat; [2017-07-26]
    Nyckelord :Risk Management; Counterparty Credit Risk; OTC Derivatives; Central Clearing; Multilateral Netting; Bilateral Netting;

    Sammanfattning : MSc in Finance.... LÄS MER

  3. 3. A study of the Basel III CVA formula

    Kandidat-uppsats,

    Författare :Rickard Olovsson; Erik Sundberg; [2017-07-03]
    Nyckelord :Basel III; Credit Value Adjustment; Counterparty Credit Risk; Credit Default Swap; Interest Rate Swap; Piecewise Constant Default Intensity; Bootstrapping; Expected Exposure; Internal Model Method;

    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

  4. 4. Credit Risk Modeling and Implementation

    Master-uppsats, Umeå universitet/Institutionen för fysik

    Författare :Johan Gunnars; [2017]
    Nyckelord :CVA; CDS; hazard rate;

    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

  5. 5. Assesing counterparty risk classification using transition matrices : Comparing models' predictive ability

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistik; Umeå universitet/Institutionen för matematik och matematisk statistik

    Författare :Sebastian Pörn; Arvid Rönnblom; [2017]
    Nyckelord :Transition Matrices; Probability of default; Credit risk; one- parameter model; ordered probit model.;

    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

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