Sökning: "Credit Default Swaps CDS"
Visar resultat 1 - 5 av 33 uppsatser innehållade orden Credit Default Swaps CDS.
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. Model for Central Counterparty Risk with Stochastic Default Intensities
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : In this thesis we use a dynamic model to compute several margins required by a central counterparty, the central clearing house (CCP), to the participants, called clearing members (CM). These margins form the so called default waterfall. In this market only credit default swaps (CDS) are exchanged. LÄS MER
4. Quantitative Easing Effect on Bank Profitability : A study on the relationship between quantitative easing and bank profitability in Sweden
Kandidat-uppsats, Jönköping University/Internationella HandelshögskolanSammanfattning : We analyse the effects of quantitative easing (QE) on Swedish bank profitability on the four largest banks in Sweden between 2015-2021 by utilizing daily stock prices as a proxy for bank profit. Using an event study approach, we find that QE has a significant positive effect on bank profitability in Sweden as wholesale funding conditions improve. LÄS MER
5. On the Proxy Modelling of Risk-Neutral Default Probabilities
Master-uppsats, KTH/Matematisk statistikSammanfattning : Since the default of Lehman Brothers in 2008, it has become increasingly important to measure, manage and price the default risk in financial derivatives. Default risk in financial derivatives is referred to as counterparty credit risk (CCR). The price of CCR is captured in Credit Valuation Adjustment (CVA). LÄS MER