Sökning: "Credit Default Swaps"

Visar resultat 1 - 5 av 50 uppsatser innehållade orden Credit Default Swaps.

1. 1. ON THE CVA OF CREDIT DEFAULT SWAPS: THE IMPLICATION OF DEPENDENCE USING A COPULA APPROACH

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Sebastian Alm; Joel Fredriksson Pregmark; [2023-06-29]
   Nyckelord :Credit Value Adjustment; Counterparty Credit Risk; Wrong Way Risk; Credit Default Swap; Semi-Analytical Model; Interest Rate Swap;

   Sammanfattning : 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

3. 2. Modelling Proxy Credit Cruves Using Recurrent Neural Networks

   Master-uppsats, KTH/Matematisk statistik

   Författare :Lucas Fageräng; Hugo Thoursie; [2023]
   Nyckelord :Deep Neural Networks; Credit Risk; Financial Modelling; LSTM; Credit Default Swaps; Credit Valuation Adjustment; Djupa Neurala Nätverk; Kreditrisk; Finansiell Modellering; LSTM; Kreditswappar; Kreditvärderingsjustering;

   Sammanfattning : 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

4. 3. Do CSR pillars have an effect on credit risk? An empirical comparison between Canadian and Mexican firms

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :German Portugal Valenzuela; Lourdes Angelica Garcia Braulio; [2022]
   Nyckelord :CSR; Corporate Social Responsibility; CSR Pillars; ESG; Credit Risk; Probability of Default; Credit Default Swap Spreads; Business and Economics;

   Sammanfattning : This paper aims to empirically examine the effect, if any, of each Corporate Social Responsibility dimension (i.e., Environmental, Social, and Governance activities) on firms’ credit risk for two countries with a different CSR culture, Canada and Mexico. LÄS MER

5. 4. Pricing of Embedded Options: Implementing Stochastic Interest Rates & Stochastic Spread

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Jan Müller; [2022]
   Nyckelord :Option pricing; Callable bonds; Affine term structure models; Hull-White one-factor; Hull White two-factor; Trinomial trees; Short rate; Default intensity; Swaption volatilities; Black-76; Credit derivatives; Calibration; Optimisation.; Mathematics and Statistics;

   Sammanfattning : Given the current market climate, in an era of negative interest-rates, the Hull-White model has regained popularity in the eyes of investors. This thesis aims to extend this model to incorporate credit risk, to allow the modelling of credit derivatives such as diff swaps, defaultable corporate bonds and credit default swaps. LÄS MER

7. 5. Model for Central Counterparty Risk with Stochastic Default Intensities

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Francesco Marconi; [2021-09-30]
   Nyckelord :;

   Sammanfattning : 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