Sökning: "counterparty risk"

Visar resultat 6 - 10 av 61 uppsatser innehållade orden counterparty risk.

1. 6. Credit Exposure Modelling Using Differential Machine Learning

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Måns Karp; Samuel Wagner; [2023]
   Nyckelord :Counterparty credit risk; Differential machine learning; Exposure modelling; Heston model; Option pricing; Mathematics and Statistics;

   Sammanfattning : Exposure modelling is a critical aspect of managing counterparty credit risk, and banks worldwide invest significant time and computational resources in this task. One approach to modelling exposure involves pricing trades with a counterparty in numerous potential future market scenarios. LÄS MER

3. 7. Exploring the Feasibility of Replicating SPAN-Model's Required Initial Margin Calculations using Machine Learning : A Master Thesis Project for Intraday Margin Call Investigation in the Commodities Market

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

   Författare :Clara Branestam; Amanda Sandgren; [2023]
   Nyckelord :Machine Learning; Market Risk; Initial Margin; SPAN-model; Central Counterparty Clearing; Margin Call;

   Sammanfattning : Machine learning is a rapidly growing field within artificial intelligence that an increasing number of individuals and corporations are beginning to utilize. In recent times, the financial sector has also started to recognize the potential of these techniques and methods. LÄS MER

4. 8. Hedging in the Renewable Sector: A Case Study on Risk Mitigation for Solar Facilities

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Författare :Ture Österman; Jesper Janson; [2023]
   Nyckelord :Hedging; Cannibalization; Solar; Batteries; Co-location;

   Sammanfattning : This thesis examines the risks and implications posed by the expansion of the renewable energy sector, using the perspective of Swedish solar facilities and the renewable project developer OX2. The paper is presented as a case study, primarily based on a qualitative methodology, involving interviews with various stakeholders. LÄS MER

5. 9. Scenario Generation for Stress Testing Using Generative Adversarial Networks : Deep Learning Approach to Generate Extreme but Plausible Scenarios

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

   Författare :Jonas Gustafsson; Conrad Jonsson; [2023]
   Nyckelord :Machine Learning; Generative Adversarial Network GAN ; Wasserstein Generative Adversarial Network WGAN ; Scenario Generation; Stress Testing; Central Counterparty Clearing;

   Sammanfattning : Central Clearing Counterparties play a crucial role in financial markets, requiring robust risk management practices to ensure operational stability. A growing emphasis on risk analysis and stress testing from regulators has led to the need for sophisticated tools that can model extreme but plausible market scenarios. LÄS MER

7. 10. The Internet of Banking: how blockchain can revolutionize the banking system. An exploratory case study in the Italian banking industry: the Spunta Banca DLT project.

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Augusto Sposito; [2022-08-19]
   Nyckelord :blockchain; distributed ledger technology; digital platform; platform ecosystem; banking;

   Sammanfattning : The driver of this study is the growing interest in blockchain technology and its use to develop inter-organisational structures considered capable of ensuring important benefits such as system transparency, operational simplification, efficiency improvement, counterparty risk reduction and so on. Even though there is great enthusiasm for this topic, there are few projects that have been able to reach an operational phase by going beyond the experimental stage since the failure rate is very high. LÄS MER