Sökning: "Wrong-way risk"

Visar resultat 1 - 5 av 11 uppsatser innehållade orden Wrong-way risk.

  1. 1. ON THE CVA OF CREDIT DEFAULT SWAPS: THE IMPLICATION OF DEPENDENCE USING A COPULA APPROACH

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Sebastian Alm; Joel Fredriksson Pregmark; [2023-06-29]
    Nyckelord :Credit Value Adjustment; Counterparty Credit Risk; Wrong Way Risk; Credit Default Swap; Semi-Analytical Model; Interest Rate Swap;

    Sammanfattning : This study examines the nature and background to the Credit Value Adjustment(CVA), a concept that has gained focus due the it’s heightened importance for financial institutions subsequent to the 2008 financial crisis. CVA can be defined as the the price that should be added to the bilateral defaultable contract to adjust for the existing Counterparty Credit Risk (CCR) so that the contract will have the same value as a corresponding risk-free contract. LÄS MER

  3. 2. Identifiering av riskområden gällande dagvatten : En fallstudie baserat på Gustavslund

    Master-uppsats, KTH/Hållbar utveckling, miljövetenskap och teknik

    Författare :Hanna Meyer; [2022]
    Nyckelord :Stormwater treatment; identify risk areas; run-off water; The Swedish Environmental Code; water services; Dagvatten; dagvattenhantering; identifiering av riskområden; LOD; miljöbalken; vattentjänstlagen;

    Sammanfattning : Urbanisering och klimatförändringar i form av intensivare nederbörd är idag tvåproblemområden som båda påverkar hur samhället hanterar dagvatten, särskilt när dekombineras. Syftet med denna uppsats är därmed att undersöka hur dessa aspekter påverkar dagvattenhanteringen och vad som händer när det går fel vid planering och byggnation. LÄS MER

  4. 3. Att klä sig rätt : En studie om normers reglering av unga kvinnors klädkonsumtion

    Kandidat-uppsats, Linnéuniversitetet/Institutionen för samhällsstudier (SS)

    Författare :Josephine Birath; Tove Olofsson; [2019]
    Nyckelord :Clothing consumption; Women; Gender; Norms; Identity; Klädkonsumtion; Kvinnor; Genus; Normer; Identitet;

    Sammanfattning : Gender, age and appearance are examples of factors that affect individuals' identity. Consumption of clothing is therefore a key element that makes people a part of society and its development. A correct type of clothing consumption is needed to remain part of a community, both among friends and in society, in order not to risk deviating. LÄS MER

  5. 4. Study and Case of Wrong-Way Risk : Explorative Search for Wrong-Way Risk

    Magister-uppsats, Karlstads universitet/Handelshögskolan (from 2013)

    Författare :Jonathan Grönberg; [2019]
    Nyckelord :Wrong-way risk; Credit value adjustment; Debit value adjustment; Bilateral credit value adjustment; Felvägsrisk; Kreditvärdesjustering; Debetvärdesjustering; Bilateral kreditvärdesjustering;

    Sammanfattning : Usage of financial measurements that address the default probability of counterparties have been market practice for some time. Quantifying counterparty credit risk is usually done through the credit value adjustment which adjusts the value from a risk-free value to a risky value. LÄS MER

  7. 5. 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