Sökning: "OTC"

Visar resultat 16 - 20 av 47 uppsatser innehållade ordet OTC.

  1. 16. Analys och jämförelse av ISDA SIMM och VaR för initiala säkerhetskrav i swap-portföljer

    Kandidat-uppsats, KTH/Matematisk statistik

    Författare :Ludvig Hamilton; [2018]
    Nyckelord :;

    Sammanfattning : I denna studie jämförs ISDA SIMM initiala säkerhetskrav för ej centralt clearade OTC-derivat med en traditionell riskmätningsmetod vid namn value-at-risk. Resultatet antyder att ISDA SIMM för enklare swap-portföljer uppfyller kraven satta i form av att vara mer stabil och transparent än en 10 dagars value-at-risk på en 99%ig konfidensnivå. LÄS MER

  3. 17. Counterparty Credit Risk Efficieny of Central Clearing

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Felix Salat; [2017-07-26]
    Nyckelord :Risk Management; Counterparty Credit Risk; OTC Derivatives; Central Clearing; Multilateral Netting; Bilateral Netting;

    Sammanfattning : In this thesis, we aim to show effects of centrally clearing OTC derivatives on counterparty exposures. Central clearing is the process of replacing bilateral exposures from transactions with a network of multilateral exposures. In all transactions, a central counterparty (CCP) is the intermediary, acting as a buyer to each seller and vice versa. LÄS MER

  4. 18. The Swedish Pharmaceutical Market: Competition and Pricing Post-Deregulation

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Författare :Karin Fura; Elsa Horn af Rantzien; [2017]
    Nyckelord :Market structure; Price competition; Demand estimation; Pharmaceutical retail;

    Sammanfattning : This paper examines the Swedish market of over-the-counter (OTC) pharmaceuticals following the reform in 2009. The market is an oligopoly and the market concentration has increased over the recent years. Several impediments to price competition are present, including asymmetric information and significant barriers to entry. LÄS MER

  5. 19. The Viability of Cluster Based Representations for Classification of Over the Counter Derivative Populations

    Uppsats för yrkesexamina på avancerad nivå, KTH/Skolan för datavetenskap och kommunikation (CSC)

    Författare :Marcus Nordberg; [2017]
    Nyckelord :representation learning; clustering; otc derivatives; classification;

    Sammanfattning : A population of financial derivatives can be compressed if a subset of derivatives yield a net cash flow that lies within a given tolerance level between the parties involved. To conduct a correct population compression, it is essential that all derivatives of the involved parties are present in the derivative set. LÄS MER

  7. 20. Counterparty Credit Exposures for Interest Rate Derivatives using Stochastic Grid Bundling Method and Change of Measure

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Johan Gustavsson; [2017]
    Nyckelord :OTC; Counterparty credit risk; HW1F; Market price of risk; CVA; Potential Future Exposure; Expected Exposure; Bermudan swaption; Stochastic Grid Bundling Method; SGBM.; Mathematics and Statistics;

    Sammanfattning : The notional amounts outstanding of over-the-counter (OTC) derivatives had grown exponentially for almost two decades and its rapid growth were mainly due the increase in OTC interest rate derivatives. As of december 2014, the total notional amounts outstanding in the global OTC market was 630 trillions USD and the OTC interest rate derivatives represents about 80% of the market. LÄS MER