Sökning: "OTC"
Visar resultat 1 - 5 av 47 uppsatser innehållade ordet OTC.
1. Modeling Credit Default Swap Spreads with Transformers : A Thesis in collaboration with Handelsbanken
Master-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)Sammanfattning : In the aftermath of the credit crisis in 2007, the importance of Credit Valuation Adjustment (CVA) rose in the Over The Counter (OTC) derivative pricing process. One important part of the pricing process is to determine Probability of Defaults (PDs) of the counterparty in question. LÄS MER
2. Do OTC warming effects on ecosystem processes depend on moss species identity, precipitation, and moss removal?
Master-uppsats, Umeå universitet/Institutionen för ekologi, miljö och geovetenskapSammanfattning : Long-term warming experiments in arctic tundra have resulted in reduced moss cover and increased vascular plant cover. As mosses have a major impact on microclimatic conditions, changes in community composition can potentially alter direct and indirect drivers of productivity and decomposition, which are low in arctic ecosystems. LÄS MER
3. Etableringsmomentets inverkan på växtsamhällets artdiversitet - Har uppvärmning någon effekt?
Kandidat-uppsats, Umeå universitet/Institutionen för ekologi, miljö och geovetenskapSammanfattning : The aim of this study was to assess how the plant community and its species diversity are affected by establishment methods and warming. Priority effects, i.e. LÄS MER
4. 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
5. Using Data-Driven Feasible Region Approximations to Handle Nonlinear Constraints When Applying CMA-ES to the Initial Margin Optimization Problem
Master-uppsats, KTH/Matematisk statistikSammanfattning : The introduction of initial margin requirements for non-cleared OTC derivatives has made it possible to optimize initial margin when considering a network of trading participants. Applying CMA-ES, this thesis has explored a new method to handle the nonlinear constraints present in the initial margin optimization problem. LÄS MER