Sökning: "Default intensity"

Visar resultat 6 - 10 av 13 uppsatser innehållade orden Default intensity.

1. 6. Efficient Monte Carlo Simulation for Counterparty Credit Risk Modeling

   Master-uppsats, KTH/Matematisk statistik

   Författare :Sam Johansson; [2019]
   Nyckelord :CCR; OTC derivatives; European option; Bermudan option; CVA; jump-diffusion model; stochastic intensity model; Monte Carlo; variance reduction; importance sampling; least squares Monte Carlo; CCR; OTC-derivat; europeisk option; Bermuda-option; CVA; jump-diffusion-modell; stokastisk intensitetsmodell; Monte Carlo; variansreduktion; importance sampling; least squares Monte Carlo;

   Sammanfattning : 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

3. 7. Transition Matrices Conditional on Macroeconomic Cycles: A Portfolio Stress-Test Application

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Jesper Karlsson; [2018-07-04]
   Nyckelord :Risk Management; Migration Analysis; Intensity Models; IFRS 9; Basel Accords; Portfolio Stress Test;

   Sammanfattning : Transition matrices show the probabilities of credit rating migrations for a pool of ratings within a particular industry, geographical area, time-horizon, etc. Regulation, in the form of Basel accords, has opted for standards in banking that among other techniques use transition matrices, and thus the probability of default, for internally-based risk-assessment, as well as incorporating the external credit rating in the capital requirement calculation. LÄS MER

4. 8. 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

5. 9. 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. 10. Pricing Credit Default Index Swaptions A numerical evaluation of pricing models

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Erik Sveder; Edvard Johansson; [2015-07-13]
   Nyckelord :Credit Default Index Swaptions; Options on CDS Indices; Credit Derivatives; Credit Default Swap; Credit Default Swaption; Credit Default Index Swap; Credit Risk; Credit Risk Modelling; Intensity-based Mod- elling; Black-Scholes;

   Sammanfattning : This study examines the background and nature of the credit default index swaption (CDIS) and presents relevant methods for modelling credit risk. A CDIS is a credit derivative contract that gives the buyer right to enter into a credit default index swap (CDS index) contract at a given point in time. LÄS MER