Sökning: "Valuation of interest rate derivatives"
Visar resultat 1 - 5 av 6 uppsatser innehållade orden Valuation of interest rate derivatives.
1. Valuation of interest rate instruments under backward-looking forward rate framework
Master-uppsats, Mälardalens universitet/Akademin för utbildning, kultur och kommunikationSammanfattning : With the discontinuation of Interbank Offered Rates(IBOR), traders found some al-ternative reference rates to replace IBOR. Backward-looking rates are widely accepted new benchmark interest rates. LÄS MER
2. Collateral choice option valuation
Master-uppsats, KTH/Matematisk statistikSammanfattning : A bank borrowing some money has to give some securities to the lender, which is called collateral. Different kinds of collateral can be posted, like cash in different currencies or a stock portfolio depending on the terms of the contract, which is called a Credit Support Annex (CSA). LÄS MER
3. Credit Value Adjustment: The Aspects of Pricing Counterparty Credit Risk on Interest Rate Swaps
Master-uppsats, KTH/Matematisk statistikSammanfattning : In this thesis, the pricing of counterparty credit risk on an OTC plain vanilla interest rate swap is investigated. Counterparty credit risk can be defined as the risk that a counterparty in a financial contract might not be able or willing to fulfil their obligations. This risk has to be taken into account in the valuation of an OTC derivative. LÄS MER
4. Valuation of Interest Rate Swaps in the presence of Counterparty Credit Risk
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : 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
5. Credit Valuation Adjustment: In theory and practice
Master-uppsats, KTH/Matematisk statistikSammanfattning : 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