Sökning: "Counterparty credit risk"
Visar resultat 6 - 10 av 37 uppsatser innehållade orden Counterparty credit risk.
6. A comparison of the Basel III capital requirement models for financial institutions
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : The purpose of this report is to implement and compare the two Basel III standard methods on how to calculate the capital requirement for finan- cial institutions, related to counterparty credit risk. The models being the Standardized Approach for Counterparty Credit Risk (SA-CCR) and the Internal Model Method (IMM). LÄS MER
7. Model for Central Counterparty Risk with Stochastic Default Intensities
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : 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
8. Modern Credit Value Adjustment
Master-uppsats, KTH/Matematik (Avd.)Sammanfattning : Counterparty risk calculations have gained importance after the latest financial crisis. The bankruptcy of Lehman Brothers showed that even large financial institutiones face a risk of default. Hence, it is important to measure the risk of default for all the contracts written between financial institutions. LÄS MER
9. Jakten på kapital : Basel III:s effekter för finansiering av kommersiella fastigheter
Kandidat-uppsats, KTH/Fastigheter och byggandeSammanfattning : Kommersiella fastigheter är en kapitalintensiv tillgång, i behov av externt kapital, med flertalet intressenter. Syftet med uppsatsen är att studera effekten av regelverket Basel III genom att se hur fastighetsbolagens finansiering av kommersiella fastigheter har förändrats mellan år 2014 och år 2019. LÄS MER
10. On the Proxy Modelling of Risk-Neutral Default Probabilities
Master-uppsats, KTH/Matematisk statistikSammanfattning : Since the default of Lehman Brothers in 2008, it has become increasingly important to measure, manage and price the default risk in financial derivatives. Default risk in financial derivatives is referred to as counterparty credit risk (CCR). The price of CCR is captured in Credit Valuation Adjustment (CVA). LÄS MER