Sökning: "credit valuation process"

Visar resultat 1 - 5 av 14 uppsatser innehållade orden credit valuation process.

  1. 1. 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

  3. 2. Den hjälpande handen inom kreditgivningsprocessen

    Kandidat-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Alex Dahlberg; Fabian Halvardsson; Felix Persson; [2022]
    Nyckelord :Relationsinriktad kreditgivning; transaktionsinriktad kredigivning; kreditbedömning; affärsrelationer; banker; fastighetsbolag; Business and Economics;

    Sammanfattning : Examensarbetets titel: Den hjälpande handen inom kreditgivningsprocessen Seminariedatum: 3 juni 2022. Ämne/kurs: FEKH69 Examensarbete i redovisning på kandidatnivå, 15 högskolepoäng. LÄS MER

  4. 3. The implications of IFRS 9 – for Equity Analysts

    Magister-uppsats, Uppsala universitet/Företagsekonomiska institutionen

    Författare :Neil Eriksson; Niklas Rådström; [2019]
    Nyckelord :Accounting quality; Accounting information; Conceptual Framework; IFRS 9; IAS 39; Expected Credit Loss model; Equity analyst;

    Sammanfattning : The financial crisis of 2008 highlighted problems with the accounting standard IAS 39, with claims of high complexity, introduction of procyclicality in the financial statements and a proposed role of contributing to the financial crisis. The International Accounting Standard Board issued the predecessor, IFRS 9, which became effective on January 1st, 2018. LÄS MER

  5. 4. Efficient Monte Carlo Simulation for Counterparty Credit Risk Modeling

    Master-uppsats, KTH/Matematisk statistik

    Författare :Sam Johansson; [2019]
    Nyckelord :CCR; OTC derivatives; European option; Bermudan option; CVA; jump-diffusion model; stochastic intensity model; Monte Carlo; variance reduction; importance sampling; least squares Monte Carlo; CCR; OTC-derivat; europeisk option; Bermuda-option; CVA; jump-diffusion-modell; stokastisk intensitetsmodell; Monte Carlo; variansreduktion; importance sampling; least squares Monte Carlo;

    Sammanfattning : In this paper, Monte Carlo simulation for CCR (Counterparty Credit Risk) modeling is investigated. A jump-diffusion model, Bates' model, is used to describe the price process of an asset, and the counterparty default probability is described by a stochastic intensity model with constant intensity. LÄS MER

  7. 5. Structural Modelling of Credit Spreads on the European Bond Market: An Empirical Study

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Marcus Zethraeus; Magnus Roos; [2017]
    Nyckelord :Structural models; Merton model; Black Cox model; European corporate bond spreads; Mathematics and Statistics;

    Sammanfattning : This thesis empirically tests the explanatory power of structural models on the European corporate bond market. Using new evaluation methods, including LASSO and gradient boosting regression, we can provide an in-depth assessment of the models’ shortcomings. LÄS MER