Sökning: "cds"

Visar resultat 1 - 5 av 155 uppsatser innehållade ordet cds.

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. Modelling Proxy Credit Cruves Using Recurrent Neural Networks

   Master-uppsats, KTH/Matematisk statistik

   Författare :Lucas Fageräng; Hugo Thoursie; [2023]
   Nyckelord :Deep Neural Networks; Credit Risk; Financial Modelling; LSTM; Credit Default Swaps; Credit Valuation Adjustment; Djupa Neurala Nätverk; Kreditrisk; Finansiell Modellering; LSTM; Kreditswappar; Kreditvärderingsjustering;

   Sammanfattning : Since the global financial crisis of 2008, regulatory bodies worldwide have implementedincreasingly stringent requirements for measuring and pricing default risk in financialderivatives. Counterparty Credit Risk (CCR) serves as the measure for default risk infinancial derivatives, and Credit Valuation Adjustment (CVA) is the pricing method used toincorporate this default risk into derivatives prices. LÄS MER

4. 3. Soil compaction and the effect on infiltration in urban green environments : A study based on field measurements and HYDRUS 1D modelling

   Uppsats för yrkesexamina på avancerad nivå,

   Författare :Anastasia Novikova; [2023]
   Nyckelord :HYDRUS; surface runoff; soil compaction; urban environments;

   Sammanfattning : The consequences of recent flooding and extreme rain events have highlighted the importance of proper urban planning and preventative measures for storm water management. As cities become more urbanized the significance of permeable surfaces such as parks and other urban green spaces increases which infiltrate the water into the ground. LÄS MER

5. 4. Development of specific host cell protein assays

   Uppsats för yrkesexamina på avancerad nivå, Uppsala universitet/Institutionen för biologisk grundutbildning

   Författare :Anna Ivert Nordén; [2023]
   Nyckelord :Gyrolab; Immunoassay; HCP;

   Sammanfattning : The manufacturing and the development of biotherapeutic drugs involves the expression of biotherapeutic proteins in a host cell expression system followed by a purification process. Bioanalytical methods to measure impurities such as host cell proteins (HCPs) are needed to obtain a robust process and a safe drug according to regulatory requirements. LÄS MER

7. 5. 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