Sökning: "Central Clearing Counterparty"

Visar resultat 1 - 5 av 14 uppsatser innehållade orden Central Clearing Counterparty.

  1. 1. A Journey Through the World of Compression with IRS Contracts

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för fysik

    Författare :Karl Hjalmarsson; [2023]
    Nyckelord :Portfolio Compression; Interest Rate Swap; Newtork Simplex; Central Clearing Counterparty;

    Sammanfattning : By participating in the market a party buys and sells different types of contracts resulting in the collection of contracts growing. With a large collection of contracts come the hurdles of an increasing operational cost, a harder-to-manage order book, and an increase in counterparty risk. LÄS MER

  3. 2. Exploring the Feasibility of Replicating SPAN-Model's Required Initial Margin Calculations using Machine Learning : A Master Thesis Project for Intraday Margin Call Investigation in the Commodities Market

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

    Författare :Clara Branestam; Amanda Sandgren; [2023]
    Nyckelord :Machine Learning; Market Risk; Initial Margin; SPAN-model; Central Counterparty Clearing; Margin Call;

    Sammanfattning : Machine learning is a rapidly growing field within artificial intelligence that an increasing number of individuals and corporations are beginning to utilize. In recent times, the financial sector has also started to recognize the potential of these techniques and methods. LÄS MER

  4. 3. Scenario Generation for Stress Testing Using Generative Adversarial Networks : Deep Learning Approach to Generate Extreme but Plausible Scenarios

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

    Författare :Jonas Gustafsson; Conrad Jonsson; [2023]
    Nyckelord :Machine Learning; Generative Adversarial Network GAN ; Wasserstein Generative Adversarial Network WGAN ; Scenario Generation; Stress Testing; Central Counterparty Clearing;

    Sammanfattning : Central Clearing Counterparties play a crucial role in financial markets, requiring robust risk management practices to ensure operational stability. A growing emphasis on risk analysis and stress testing from regulators has led to the need for sophisticated tools that can model extreme but plausible market scenarios. LÄS MER

  5. 4. Backtesting Expected Shortfall : A qualitative study for central counterparty clearing

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

    Författare :Emil Berglund; Albin Markgren; [2022]
    Nyckelord :Expected Shortfall; Value-at-Risk; Initial Margin; Backtesting; Central Counterparty Clearing;

    Sammanfattning : Within Central Counterparty Clearing, the Clearing House collects Initial Margin from its Clearing Members. The Initial Margin can be calculated in many ways, one of which is by applying the commonly used risk measure Value-at-Risk. However, Value-at-Risk has one major flaw, namely its inability to encapsulate Tail Risk. LÄS MER

  7. 5. Model for Central Counterparty Risk with Stochastic Default Intensities

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Francesco Marconi; [2021-09-30]
    Nyckelord :;

    Sammanfattning : In this thesis we use a dynamic model to compute several margins required by a central counterparty, the central clearing house (CCP), to the participants, called clearing members (CM). These margins form the so called default waterfall. In this market only credit default swaps (CDS) are exchanged. LÄS MER