Sökning: "Internal Model Method IMM"

Hittade 2 uppsatser innehållade orden Internal Model Method IMM.

1. 1. A comparison of the Basel III capital requirement models for financial institutions

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Sara Johannesson; Amanda Wahlberg; [2022]
   Nyckelord :Basel III; Internal Model Method IMM ; Standardized Approch for Counterparty Credit Risk SA-CCR ; Counterparty Credit Risk; Capital Requirement; Mathematics and Statistics;

   Sammanfattning : 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

3. 2. Credit Valuation Adjustment: In theory and practice

   Master-uppsats, KTH/Matematisk statistik

   Författare :Dan Franzén; Otto Sjöholm; [2014]
   Nyckelord :Basel II; Basel III; OTC Derivatives; Credit Valuation Adjustment; CVA;

   Sammanfattning : This thesis is intended to give an overview of creditvaluation adjustment (CVA) and adjacent concepts. Firstly, the historicalevents that preceded the initiative to reform the Basel regulations and tointroduce CVA as a core component of counterparty credit risk are illustrated. LÄS MER