Sökning: "Central Counterparties"

Visar resultat 1 - 5 av 9 uppsatser innehållade orden Central Counterparties.

1. 1. 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

3. 2. 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

4. 3. Optimal financial resources for Central Counterparties: Introducing default dependence of clearing members: a mixed binomial approach

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Leonardo Di Geronimo; [2019-07-02]
   Nyckelord :Central Counterparties; Risk Management; Merton Model; Mixed Binomial Model; Merton Mixed Binomial Model; Initial Margin; Default Fund;

   Sammanfattning : Central counterparties (CCPs) are ˝nancial intermediaries consisting of clearing members trading ˝nancial derivatives between each other. In a ˝nancial network, CCPs become the buyer to every seller and the seller to every buyer. LÄS MER

5. 4. Counterparty Credit Risk Efficieny of Central Clearing

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Felix Salat; [2017-07-26]
   Nyckelord :Risk Management; Counterparty Credit Risk; OTC Derivatives; Central Clearing; Multilateral Netting; Bilateral Netting;

   Sammanfattning : In this thesis, we aim to show effects of centrally clearing OTC derivatives on counterparty exposures. Central clearing is the process of replacing bilateral exposures from transactions with a network of multilateral exposures. In all transactions, a central counterparty (CCP) is the intermediary, acting as a buyer to each seller and vice versa. LÄS MER

7. 5. Assesing counterparty risk classification using transition matrices : Comparing models' predictive ability

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

   Författare :Sebastian Pörn; Arvid Rönnblom; [2017]
   Nyckelord :Transition Matrices; Probability of default; Credit risk; one- parameter model; ordered probit model.;

   Sammanfattning : An important part when managing credit risk is to assess the probability of default of different counterparties. Increases and decreases in such probabil- ities are central components in the assessment, and this is where transition matrices become useful. LÄS MER