Sökning: "Piecewise Constant Default Intensity"

Hittade 2 uppsatser innehållade orden Piecewise Constant Default Intensity.

  1. 1. A study of the Basel III CVA formula


    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

  2. 2. Valuation of Interest Rate Swaps in the presence of Counterparty Credit Risk

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Robin Axelsson; [2014-11-26]
    Nyckelord :Interest Rate Swaps; Counterparty Credit Risk;

    Sammanfattning : Insuring debt through credit default swaps (CDS) and collateralized debt obligations (CDO) has become increasingly more popular. Recent events such as the financial crisis of 2008 have shown that the credit models for these insurances have lacked severely in certain aspects. LÄS MER


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