Sökning: "Counterparty credit risk"
Visar resultat 16 - 20 av 37 uppsatser innehållade orden Counterparty credit risk.
16. Counterparty Credit Risk Efficieny of Central Clearing
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : 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
17. A study of the Basel III CVA formula
Kandidat-uppsats,Sammanfattning : In this thesis we compare the official Basel III method for computing credit value adjustment (CVA) against a model that assumes piecewise constant default intensities for a number of both market and fictive scenarios. CVA is defined as the price deducted from the risk-free value of a bilateral derivative to adjust for the counterparty credit risk. LÄS MER
18. Credit Risk Modeling and Implementation
Master-uppsats, Umeå universitet/Institutionen för fysikSammanfattning : The financial crisis and the bankruptcy of Lehman Brothers in 2008 lead to harder regulations for the banking industry which included larger capital reserves for the banks. One of the parts that contributed to this increased capital reserve was the the credit valuation adjustment capital charge which can be explained as the market value of the counterparty default risk. LÄS MER
19. Assesing counterparty risk classification using transition matrices : Comparing models' predictive ability
Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistikSammanfattning : 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
20. Counterparty Credit Exposures for Interest Rate Derivatives using Stochastic Grid Bundling Method and Change of Measure
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : The notional amounts outstanding of over-the-counter (OTC) derivatives had grown exponentially for almost two decades and its rapid growth were mainly due the increase in OTC interest rate derivatives. As of december 2014, the total notional amounts outstanding in the global OTC market was 630 trillions USD and the OTC interest rate derivatives represents about 80% of the market. LÄS MER