Sökning: "counterparty risk"

Visar resultat 11 - 15 av 61 uppsatser innehållade orden counterparty risk.

  1. 11. Skyddet för konsumenter vid köp av nyproducerad bostadsrätt

    Kandidat-uppsats, Lunds universitet/Juridiska institutionen; Lunds universitet/Juridiska fakulteten

    Författare :Stephanie Ottosson; [2022]
    Nyckelord :Associationsrätt; Avtalsrätt; Boenderätt; Civilrätt; Nyproducerad bostadsrätt; Förhandsavtal; Upplåtelse; Law and Political Science;

    Sammanfattning : Mot bakgrund av utvecklingen på bostadsmarknaden under senare år har det blivit uppenbart att konsumentskyddet vid köp av nyproducerade bostadsrätter är otillräckligt. Lagstiftningen erbjuder inte ett rättsligt skydd i samma utsträckning som på andra konsumentmarknader. LÄS MER

  3. 12. Backtesting Expected Shortfall : A qualitative study for central counterparty clearing

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistik

    Författare :Emil Berglund; Albin Markgren; [2022]
    Nyckelord :Expected Shortfall; Value-at-Risk; Initial Margin; Backtesting; Central Counterparty Clearing;

    Sammanfattning : Within Central Counterparty Clearing, the Clearing House collects Initial Margin from its Clearing Members. The Initial Margin can be calculated in many ways, one of which is by applying the commonly used risk measure Value-at-Risk. However, Value-at-Risk has one major flaw, namely its inability to encapsulate Tail Risk. LÄS MER

  4. 13. Neural Networks for Credit Risk and xVA in a Front Office Pricing Environment

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Isabelle Frodé; Viktor Sambergs; [2022]
    Nyckelord :xVA; CVA; OTC; Counterparty Credit Risk; Interest Rate Swaps; Hull-White Model; Machine Learning; Artificial Neural Networks; Gated Recurrent Units; Mathematics and Statistics;

    Sammanfattning : We present a data-driven proof of concept model capable of reproducing expected counterparty credit exposures from market and trade data. The model has its greatest advantages in quick single-contract exposure evaluations that could be used in front office xVA solutions. The data was generated using short rates from the Hull-White One-Factor model. LÄS MER

  5. 14. 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

  7. 15. Model for Central Counterparty Risk with Stochastic Default Intensities

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Francesco Marconi; [2021-09-30]
    Nyckelord :;

    Sammanfattning : In this thesis we use a dynamic model to compute several margins required by a central counterparty, the central clearing house (CCP), to the participants, called clearing members (CM). These margins form the so called default waterfall. In this market only credit default swaps (CDS) are exchanged. LÄS MER