Sökning: "interest rate swap"

Visar resultat 21 - 25 av 37 uppsatser innehållade orden interest rate swap.

1. 21. Exposure At Default During Financial Stress - A Comparative Study

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Susanna Haglund; Julia Ripa; [2016]
   Nyckelord :Exposure At Default; EAD; Interest Rate Swap; Kalman Filter; Monte Carlo; Real World Probability Measure; Risk Neutral Probability Measure; Vasicek Model.; Mathematics and Statistics;

   Sammanfattning : In recent years the capital requirements for banks have been updated which has complicated the pricing procedure for derivatives. Nordea has developed a proxy model that approximates the risk measure Exposure At Default, which is an important component in the recently updated requirements. LÄS MER

3. 22. Interest rate swap eller inte? : En studie om de största svenska företagens användning av interest rate swaps

   Kandidat-uppsats, Södertörns högskola/Institutionen för samhällsvetenskaper

   Författare :Therese Brodin; Frida Harrysson; [2015]
   Nyckelord :Interest rate swap; ränteswap; risk; obeståndskostnad; lån; derivat; hedging; agentkostnader;

   Sammanfattning : Syfte: Syftet är att undersöka svenska storföretags användande av derivatet ränteswap (svensk benämning för interest rate swap) för år 2012 och 2013 samt att undersöka skillnader utifrån tidigare funna bakomliggande faktorer mellan företag som använder olika typer av ränteswaps och företag som inte använder ränteswap. Metod: Studien tillämpade en empirisk totalundersökning gällande de icke-finansiella företagen noterade på Nasdaq OMX Stockholm Large Cap för slutet på år 2012 respektive år 2013. LÄS MER

4. 23. An Introduction to Modern Pricing of Interest Rate Derivatives

   Master-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

   Författare :Hossein Nohrouzian; [2015]
   Nyckelord :Interest Rates; Negative Interest Rates; Market Model; Martingale; Security Market Model; Term Structure Model; Risk-Neutral Measure; Forward-Neutral Measure; LIBOR; HJM; Collateral; Swap; Tenor; Interest Rate Derivatives; CSA Agreement; Bachelier.;

   Sammanfattning : This thesis studies interest rates (even negative), interest rate derivatives and term structure of interest rates. We review the different types of interest rates and go through the evaluation of a derivative using risk-neutral and forward-neutral methods. LÄS MER

5. 24. Credit Value Adjustment: The Aspects of Pricing Counterparty Credit Risk on Interest Rate Swaps

   Master-uppsats, KTH/Matematisk statistik

   Författare :Martin Hellander; [2015]
   Nyckelord :OTC derivatives; Credit Value Adjustment; Debit Value Adjustment; wrongway risk; interest rate swaps; LIBOR Market Model; Cox-Ingersoll-Ross process.;

   Sammanfattning : In this thesis, the pricing of counterparty credit risk on an OTC plain vanilla interest rate swap is investigated. Counterparty credit risk can be defined as the risk that a counterparty in a financial contract might not be able or willing to fulfil their obligations. This risk has to be taken into account in the valuation of an OTC derivative. LÄS MER

7. 25. Implications of Multiple Curve Construction in the Swedish Swap Market

   Master-uppsats, KTH/Entreprenörskap och Innovation

   Författare :Erik Lidholm; Benjamin Nudel; [2014]
   Nyckelord :collateral; cross currency; discount curve; forward curve; forward starting; off-market; swap; Stibor; collateral; cross currency; diskonteringskurva; forwardkurva; forward starting; off-market; swap; Stibor;

   Sammanfattning : The global financial crisis of 2007 caused abrupt changes in the financial markets. Interest rates that were known to follow each other diverged. Furthermore, both regulation and an increased awareness of counterparty credit risks have fuelled a growth of collateralised contracts. LÄS MER