Sökning: "Carlo Ripa"

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  1. 1. Exposure At Default During Financial Stress - A Comparative Study

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Susanna Haglund; Julia Ripa; [2016]
    Nyckelord :Exposure At Default; EAD; Interest Rate Swap; Kalman Filter; Monte Carlo; Real World Probability Measure; Risk Neutral Probability Measure; Vasicek Model.; Mathematics and Statistics;

    Sammanfattning : In recent years the capital requirements for banks have been updated which has complicated the pricing procedure for derivatives. Nordea has developed a proxy model that approximates the risk measure Exposure At Default, which is an important component in the recently updated requirements. LÄS MER