Sökning: "Counterparty credit risk"
Visar resultat 11 - 15 av 37 uppsatser innehållade orden Counterparty credit risk.
11. Backtesting of simulated method for Counterparty Credit Risk
Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistikSammanfattning : After the financial crisis of 2008 regulators found that the derivative market, where financial institutions traded OTC derivatives with each other, played a significantrole in triggering the crisis. This led to the emergence of Counterparty Credit Risk(CCR) which is used to measure the exposure banks have to their counterparties. LÄS MER
12. Implementing and testing possible hedging strategies to minimise value fluctuations in a defaulted portfolio
Master-uppsats, Umeå universitet/Institutionen för fysikSammanfattning : A Central Counterparty (CCP) handles clearing between its members and can mutualise and reduce the counterparty and credit risk in a network. In the case of a clearing member defaulting on its obligations, the defaulted portfolio will be taken over by the CCP, which will attempt to close out the positions as quickly as possible. LÄS MER
13. Study and Case of Wrong-Way Risk : Explorative Search for Wrong-Way Risk
Magister-uppsats, Karlstads universitet/Handelshögskolan (from 2013)Sammanfattning : Usage of financial measurements that address the default probability of counterparties have been market practice for some time. Quantifying counterparty credit risk is usually done through the credit value adjustment which adjusts the value from a risk-free value to a risky value. LÄS MER
14. Efficient Monte Carlo Simulation for Counterparty Credit Risk Modeling
Master-uppsats, KTH/Matematisk statistikSammanfattning : In this paper, Monte Carlo simulation for CCR (Counterparty Credit Risk) modeling is investigated. A jump-diffusion model, Bates' model, is used to describe the price process of an asset, and the counterparty default probability is described by a stochastic intensity model with constant intensity. LÄS MER
15. Hedging Error in CVA : Impact of inconsistency between simulation and pricing models
Master-uppsats, KTH/Matematisk statistikSammanfattning : The aim of this thesis is to investigate thehedging error in Credit Value Adjustment (CVA) produced by using a model forthe simulation of the risk factors different from the one used in the pricingof the derivative contract. The hypothesis is that this inconsistency betweensimulation and pricing models affects the CVA leading to an error in thehedging of credit counterparty risk. LÄS MER