Sökning: "Interest Rate Swap"

Visar resultat 26 - 30 av 37 uppsatser innehållade orden Interest Rate Swap.

1. 26. Credit Valuation Adjustment: In theory and practice

   Master-uppsats, KTH/Matematisk statistik

   Författare :Dan Franzén; Otto Sjöholm; [2014]
   Nyckelord :Basel II; Basel III; OTC Derivatives; Credit Valuation Adjustment; CVA;

   Sammanfattning : This thesis is intended to give an overview of creditvaluation adjustment (CVA) and adjacent concepts. Firstly, the historicalevents that preceded the initiative to reform the Basel regulations and tointroduce CVA as a core component of counterparty credit risk are illustrated. LÄS MER

3. 27. Modeling CVA for interest rate swaps in a CIR-framework

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Ge Chen; Lukas Norman; [2013-07-02]
   Nyckelord :;

   Sammanfattning : Knowing the true Counterparty Credit Risk (CCR) and accurately account for it, is vital in maintaining a stable financial system. The Basel committee noted that during the financial crisis of 2008-2009, about 70% of losses related to CCR actually came from volatility in the Credit Value Adjustment (CVA) instead of actual defaults. LÄS MER

4. 28. Curve Building and SwapPricing in the Presence of Collateral and Basis Spreads

   Master-uppsats, KTH/Matematisk statistik

   Författare :Simon Gunnarsson; [2013]
   Nyckelord :Curve building; swap; basis spread; cross currency; collateral;

   Sammanfattning : The eruption of the financial crisis in 2008 caused immense widening of both domestic and cross currency basis spreads. Also, as a majority of all fixed income contracts are now collateralized the funding cost of a financial institution may deviate substantially from the domestic Libor. LÄS MER

5. 29. The properties of interest rate swaps : An investigation of the price setting of illiquid interest rates swaps and the perfect hedging portfolios

   Master-uppsats, KTH/Matematisk statistik

   Författare :Max Lindquist; [2012]
   Nyckelord :;

   Sammanfattning : The main purpose of this thesis is to analyze the properties of various types of simple interest rates swaps, investigate how they depend on the swap rates of the liquid instruments on the market and the OIS-rates, and analyze how an illiquid instrument should be priced and hedged. The price setting tool used by the Fixed Income division at SEB Merchant Banking has been analyzed, and simulations of the hedging portfolios have been done over a time span of one year. LÄS MER

7. 30. Swaption pricing and isolating volatility exposure

   Kandidat-uppsats, Institutionen för matematik och matematisk statistik

   Författare :Tomas Forsberg; [2011]
   Nyckelord :swaption; option; volatility; swap; interest rate; black scholes; trading;

   Sammanfattning : Starting from basic financial mathematics, we cover the mathematics of pricing swaptions, options on interest rate swaps. We then continue to the topic of obtaining an approximately pure volatility exposure. LÄS MER