Sökning: "Hull White"
Visar resultat 1 - 5 av 20 uppsatser innehållade orden Hull White.
1. Stokastisk modellering och prognosticering inom livförsäkring : En dödlighetsundersökning på Länsförsäkringar Livs bestånd
Master-uppsats, Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakultetenSammanfattning : Studier av livslängder och dödssannolikheter är avgörande för livförsäkring. Betalningar gällande livförsäkringar är helt beroende av om en individ lever eller ej, eller befinner sig i olika hälsotillstånd. LÄS MER
2. Neural Networks for Credit Risk and xVA in a Front Office Pricing Environment
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : We present a data-driven proof of concept model capable of reproducing expected counterparty credit exposures from market and trade data. The model has its greatest advantages in quick single-contract exposure evaluations that could be used in front office xVA solutions. The data was generated using short rates from the Hull-White One-Factor model. LÄS MER
3. 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
4. Modeling the yield curve in conjunction with the FX spots
Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för fysikSammanfattning : Interest rates and foreign exchange spots are widely used within financial products. It is important to understand the risk arising from products that depend on interest rates and/or foreign exchange spots. LÄS MER
5. Pricing of Embedded Options: Implementing Stochastic Interest Rates & Stochastic Spread
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : Given the current market climate, in an era of negative interest-rates, the Hull-White model has regained popularity in the eyes of investors. This thesis aims to extend this model to incorporate credit risk, to allow the modelling of credit derivatives such as diff swaps, defaultable corporate bonds and credit default swaps. LÄS MER