Sökning: "Interest Rate Swap"
Visar resultat 6 - 10 av 37 uppsatser innehållade orden Interest Rate Swap.
6. Neural Networks for Credit Risk and xVA in a Front Office Pricing Environment
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : We present a data-driven proof of concept model capable of reproducing expected counterparty credit exposures from market and trade data. The model has its greatest advantages in quick single-contract exposure evaluations that could be used in front office xVA solutions. The data was generated using short rates from the Hull-White One-Factor model. LÄS MER
7. Swaptions from a Clearinghouse perspective : Hedging swaptions, an option on interest rate swaps, using compression
Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för fysikSammanfattning : With the increasing popularity of interest rate swaps the need to understandswaptions, an option of an interest rate swap, is of great importance. A swap-tion can be used in both speculative purposes and to hedge against changesin interest rates. The most important thing to understand is the pricing for-mula. LÄS MER
8. Risk Measurement and Performance Attribution for IRS Portfolios Using a Generalized Optimization Method for Term Structure Estimation
Master-uppsats, Linköpings universitet/ProduktionsekonomiSammanfattning : With the substantial size of the interest rate markets, the importance of accurate pricing, risk measurement and performance attribution can not be understated. However, the models used on the markets often have underlying issues with capturing the market's fundamental behavior. LÄS MER
9. Swap Book Hedging using Stochastic Optimisation with Realistic Risk Factors
Master-uppsats, Linköpings universitet/ProduktionsekonomiSammanfattning : Market makers such as large banks are exposed to market risk in fixed income by acting as a counterparty for customers that enter swap contracts. This master thesis addresses the problem of creating a cost-effective hedge for a realistic swap book of a market maker in a multiple yield curve setting. LÄS MER
10. To Hedge or not to Hedge: An Empirical Analysis on the Determinants of Corporate Interest Rate Risk Management
D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : Two theories explain why company size and leverage affect interest rate hedging: Economies of scale of derivatives usage and expected costs of financial distress. We test whether these determinants affect corporates in the decision to hedge interest rate risk with derivatives. LÄS MER
