Visar resultat 16 - 20 av 266 uppsatser innehållade ordet basel.
16. Counterparty Credit Exposures for Interest Rate Derivatives using Stochastic Grid Bundling Method and Change of MeasureMaster-uppsats, Lunds universitet/Matematisk statistik
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
- Master-uppsats, KTH/Matematisk statistik; KTH/Matematisk statistik
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
- Master-uppsats, Lunds universitet/Matematisk statistik
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
19. Credit Risk Model for loans to SMEs in Sweden : Calculating Probability of Default for SMEs in Sweden based on historical data, to estimate a financial institution’s risk exposureUppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistik; Umeå universitet/Institutionen för matematik och matematisk statistik
Sammanfattning : As a consequence from the last financial crisis that began 2007 in USA, regulatory frameworks are continuously improved in order to limit the banks’ risk exposure. Two of the amendments are Basel III and IFRS 9. LÄS MER
- Master-uppsats, Göteborgs universitet/Graduate School
Sammanfattning : MSc in Finance.... LÄS MER
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