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Visar resultat 1 - 5 av 33 uppsatser som matchar ovanstående sökkriterier.

1. 1. ON THE CVA OF CREDIT DEFAULT SWAPS: THE IMPLICATION OF DEPENDENCE USING A COPULA APPROACH

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Sebastian Alm; Joel Fredriksson Pregmark; [2023-06-29]
   Nyckelord :Credit Value Adjustment; Counterparty Credit Risk; Wrong Way Risk; Credit Default Swap; Semi-Analytical Model; Interest Rate Swap;

   Sammanfattning : This study examines the nature and background to the Credit Value Adjustment(CVA), a concept that has gained focus due the it’s heightened importance for financial institutions subsequent to the 2008 financial crisis. CVA can be defined as the the price that should be added to the bilateral defaultable contract to adjust for the existing Counterparty Credit Risk (CCR) so that the contract will have the same value as a corresponding risk-free contract. LÄS MER

3. 2. Modelling Proxy Credit Cruves Using Recurrent Neural Networks

   Master-uppsats, KTH/Matematisk statistik

   Författare :Lucas Fageräng; Hugo Thoursie; [2023]
   Nyckelord :Deep Neural Networks; Credit Risk; Financial Modelling; LSTM; Credit Default Swaps; Credit Valuation Adjustment; Djupa Neurala Nätverk; Kreditrisk; Finansiell Modellering; LSTM; Kreditswappar; Kreditvärderingsjustering;

   Sammanfattning : Since the global financial crisis of 2008, regulatory bodies worldwide have implementedincreasingly stringent requirements for measuring and pricing default risk in financialderivatives. Counterparty Credit Risk (CCR) serves as the measure for default risk infinancial derivatives, and Credit Valuation Adjustment (CVA) is the pricing method used toincorporate this default risk into derivatives prices. LÄS MER

4. 3. Modeling Credit Default Swap Spreads with Transformers : A Thesis in collaboration with Handelsbanken

   Master-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)

   Författare :Johan Luhr; [2023]
   Nyckelord :Machine Learning; Transformer; Finance; Credit Default Swap; Credit Valuation Adjustment; Time Series Data; Maskininlärning; Transformer; Finance; Kreditswapp; Kredit Värderings Justering; Tidsserie data;

   Sammanfattning : In the aftermath of the credit crisis in 2007, the importance of Credit Valuation Adjustment (CVA) rose in the Over The Counter (OTC) derivative pricing process. One important part of the pricing process is to determine Probability of Defaults (PDs) of the counterparty in question. LÄS MER

5. 4. The Use of Cash and Voucher Assistance for Sustainable Livelihoods in Protracted Crises: Silver Bullet or Double-Edged Sword? : A Case Study of Northeast Syria

   Master-uppsats, Uppsala universitet/Teologiska institutionen

   Författare :Juliette Dautriat; [2022]
   Nyckelord :Livelihoods; Cash and Voucher Assistance; Protracted Crisis; Syria;

   Sammanfattning : This thesis sheds some light on how cash and voucher assistance (CVA) can promote sustainable livelihood outcomes in protracted crisis settings, analyzing the case study of Northeast Syria. It aims to contribute to the design of CVA programming in Syria and similar contexts in a way that fosters sustainable livelihoods and advances self-sufficiency among affected populations. LÄS MER

7. 5. Neural Networks for Credit Risk and xVA in a Front Office Pricing Environment

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Isabelle Frodé; Viktor Sambergs; [2022]
   Nyckelord :xVA; CVA; OTC; Counterparty Credit Risk; Interest Rate Swaps; Hull-White Model; Machine Learning; Artificial Neural Networks; Gated Recurrent Units; Mathematics and Statistics;

   Sammanfattning : We present a data-driven proof of concept model capable of reproducing expected counterparty credit exposures from market and trade data. The model has its greatest advantages in quick single-contract exposure evaluations that could be used in front office xVA solutions. The data was generated using short rates from the Hull-White One-Factor model. LÄS MER