Sökning: "Kreditswapp"

Hittade 1 uppsats innehållade ordet Kreditswapp.

  1. 1. Modeling Credit Default Swap Spreads with Transformers : A Thesis in collaboration with Handelsbanken

    Master-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Författare :Johan Luhr; [2023]
    Nyckelord :Machine Learning; Transformer; Finance; Credit Default Swap; Credit Valuation Adjustment; Time Series Data; Maskininlärning; Transformer; Finance; Kreditswapp; Kredit Värderings Justering; Tidsserie data;

    Sammanfattning : In the aftermath of the credit crisis in 2007, the importance of Credit Valuation Adjustment (CVA) rose in the Over The Counter (OTC) derivative pricing process. One important part of the pricing process is to determine Probability of Defaults (PDs) of the counterparty in question. LÄS MER