Sökning: "basel"

Visar resultat 16 - 20 av 266 uppsatser innehållade ordet basel.

  1. 16. 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. 17. 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

  3. 18. 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

  4. 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 exposure

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistik; Umeå universitet/Institutionen för matematik och matematisk statistik

    Författare :Khalil Mustafa; Victor Persson; [2017]
    Nyckelord :Credit risk; probability of default; logistic regression;

    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

  5. 20. International Capital- and Liquidity Regulation. A challenge for Chinese banks?

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Emil Murid; Di Wang; [2016-10-07]
    Nyckelord :Basel III; China; Banking Regulation; Net Stable Funding Ratio; Capital Adequacy Ratio;

    Sammanfattning : MSc in Finance.... LÄS MER


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