Sökning: "Proxymodellering"

Hittade 1 uppsats innehållade ordet Proxymodellering.

  1. 1. On the Proxy Modelling of Risk-Neutral Default Probabilities

    Master-uppsats, KTH/Matematisk statistik

    Författare :Edvin Lundström; [2020]
    Nyckelord :Counterparty Credit Risk; Credit Valuation Adjustment; CVA; Credit modelling; Reduced form model; Proxy model; Hazard rate; Cross-section model; Nomura model; Motpartsrisk; Kreditvärderingsjustering; CVA; Kreditmodellering; Proxymodellering; Nomuramodellen;

    Sammanfattning : Since the default of Lehman Brothers in 2008, it has become increasingly important to measure, manage and price the default risk in financial derivatives. Default risk in financial derivatives is referred to as counterparty credit risk (CCR). The price of CCR is captured in Credit Valuation Adjustment (CVA). LÄS MER