Sökning: "basel"

Visar resultat 11 - 15 av 168 uppsatser innehållade ordet basel.

  1. 11. 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

  2. 12. Har Sveriges storbanker blivit säkrare?

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Anton Ljung; [2017]
    Nyckelord :Kapitaltäckning; Basel-III; Credit Default Swap spread; Volatilitet; Business and Economics;

    Sammanfattning : Syftet med denna studie är att undersöka om marknadsrisken för de fyra svenska storbankerna har minskat i och med ökad kapitaltäckning. Finansiell teori implicerar att höjd kapitaltäckning bör resultera i minskad risk i aktiepriset. LÄS MER

  3. 13. On the risk relation between Economic Value of Equity and Net Interest Income

    Master-uppsats, KTH/Matematisk statistik; KTH/Matematisk statistik

    Författare :André Berglund; Carl Svensson; [2017]
    Nyckelord :;

    Sammanfattning : The Basel Committee has proposed a new Pillar 2 regulatory framework for evaluating the interest rate risk of a bank's banking book appropriately called Interest Rate Risk in the Banking Book. The framework requires a bank to use and report two different interest rate risk measures: Economic Value of Equity (EVE) risk and Net Interest Income (NII) risk. LÄS MER

  4. 14. To Measure Concentration Risk - A comparative study

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Alma Broström; Hanna Scheibenpflug; [2017]
    Nyckelord :Multi factor adjustment; Pykhtin; Partial Portfolio Approach; capital requirement; Monte Carlo; name concentration; sector concentration; Credit concentration risk; Mathematics and Statistics;

    Sammanfattning : Credit risk is one of the largest risks facing a bank and following the Basel regulations, banks are expected to hold capital to protect themselves against credit risk. This thesis aims to evaluate models to calculate the capital requirement for credit concentration risk and compare them to the models suggested by Finansinspektionen. LÄS MER

  5. 15. Higher capital requirements and banks’ cost of capital : An empirical study of the Swedish major banks

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Företagsekonomi; Umeå universitet/Företagsekonomi

    Författare :John Gunell; Niklas Åhlund; [2017]
    Nyckelord :Modigliani Miller; Capital Requirements; Capital Structure; Banks; Cost of Capital; CAPM.;

    Sammanfattning : In the wake of the financial crisis the systemic importance of banks for the stability of the financial system became evident. Finansinspektionen classifies the banks Nordea, Skandinaviska Enskilda Banken, Svenska Handelsbanken and Swedbank as systemically important for the Swedish financial system. LÄS MER

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