Sökning: "Interest Rate Swap"

Visar resultat 16 - 20 av 37 uppsatser innehållade orden Interest Rate Swap.

  1. 16. 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

  3. 17. Structural Modelling of Credit Spreads on the European Bond Market: An Empirical Study

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Marcus Zethraeus; Magnus Roos; [2017]
    Nyckelord :Structural models; Merton model; Black Cox model; European corporate bond spreads; Mathematics and Statistics;

    Sammanfattning : This thesis empirically tests the explanatory power of structural models on the European corporate bond market. Using new evaluation methods, including LASSO and gradient boosting regression, we can provide an in-depth assessment of the models’ shortcomings. LÄS MER

  4. 18. CVA for IR-Swaps under Wrong Way Risk. A numerical evaluation using a semi-analytical model

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Berglind Halldórsdóttir; Weili Zhang; [2016-09-21]
    Nyckelord :Credit Value Adjustment; Wrong Way Risk; Interest Rate Swap; Credit Default Swap; Homogeneous CVA Portfolio; Heterogeneous CVA Portfolio; Semi-Analytical Model;

    Sammanfattning : This thesis examines the background and nature of credit value adjustment (CVA), a concept that has heightened in its importance in the financial market after the 2008 financial crisis. Credit value adjustment is defined as a price deducted from the risk-free value of a bilateral derivative to adjust for the counterparty credit risk (CCR). LÄS MER

  5. 19. Central Counterparties. A Numerical Implementation of the Default Waterfall

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Karl Ejvegård; Christian Romaniello; [2016-09-21]
    Nyckelord :Risk Management; Central Counterparty; Risk; Stochastic Models; Monte Carlo Simulation; Mixed Binomial Models; Interest Rate Swap;

    Sammanfattning : This thesis studies so called Central Counterparties (CCP), nancial institutions which consist of clearing members, such as large banks. CCPs have the role of centralizing, mutualizing and reducing counterparty risk, by acting as an intermediate in nancial transactions. LÄS MER

  7. 20. Kreditvärdighetsjusteringsmodell för ränteswappar

    Master-uppsats, Umeå universitet/Institutionen för matematik och matematisk statistik

    Författare :Ludvig Fjällström; Leonard Vermelin; [2016]
    Nyckelord :CVA; Credit Valuation Adjustment; Credit Risk; Market Risk;

    Sammanfattning : Before the global financial crisis around 2008, the priority of the credit margin was comparatively low and was not taken into consideration as much as today. Many actors believed that credit risk could be neglected at various valuations. Due to that a lot of parties went bankrupt because of the low priorities. LÄS MER