Sökning: "Credit default swaps"

Visar resultat 11 - 15 av 50 uppsatser innehållade orden Credit default swaps.

  1. 11. A study of the Basel III CVA formula

    Kandidat-uppsats,

    Författare :Rickard Olovsson; Erik Sundberg; [2017-07-03]
    Nyckelord :Basel III; Credit Value Adjustment; Counterparty Credit Risk; Credit Default Swap; Interest Rate Swap; Piecewise Constant Default Intensity; Bootstrapping; Expected Exposure; Internal Model Method;

    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

  3. 12. Credit Risk Modeling and Implementation

    Master-uppsats, Umeå universitet/Institutionen för fysik

    Författare :Johan Gunnars; [2017]
    Nyckelord :CVA; CDS; hazard rate;

    Sammanfattning : 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

  4. 13. The Influence of Political Risk on CDS Spreads - Differences between banks and other large firms

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Ludvig Tingåker; Johan Bengtsson; [2017]
    Nyckelord :credit default swaps; political risk; credit risk; banks; Merton model; Business and Economics;

    Sammanfattning : This thesis investigates the influence of country-specific political risk on credit default swap spreads. The research includes a sample of 30 companies over a time period of more than 13 years. The companies are divided into two sets of sub-groups, dependent on whether they are banks or not and which country they are based in. LÄS MER

  5. 14. CVA for IR-Swaps under Wrong Way Risk. A numerical evaluation using a semi-analytical model

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Berglind Halldórsdóttir; Weili Zhang; [2016-09-21]
    Nyckelord :Credit Value Adjustment; Wrong Way Risk; Interest Rate Swap; Credit Default Swap; Homogeneous CVA Portfolio; Heterogeneous CVA Portfolio; Semi-Analytical Model;

    Sammanfattning : This thesis examines the background and nature of credit value adjustment (CVA), a concept that has heightened in its importance in the financial market after the 2008 financial crisis. Credit value adjustment is defined as a price deducted from the risk-free value of a bilateral derivative to adjust for the counterparty credit risk (CCR). LÄS MER

  7. 15. Kreditvärdighetsjusteringsmodell för ränteswappar

    Master-uppsats, Umeå universitet/Institutionen för matematik och matematisk statistik

    Författare :Ludvig Fjällström; Leonard Vermelin; [2016]
    Nyckelord :CVA; Credit Valuation Adjustment; Credit Risk; Market Risk;

    Sammanfattning : Before the global financial crisis around 2008, the priority of the credit margin was comparatively low and was not taken into consideration as much as today. Many actors believed that credit risk could be neglected at various valuations. Due to that a lot of parties went bankrupt because of the low priorities. LÄS MER