Sökning: "otc derivatives"

Visar resultat 1 - 5 av 18 uppsatser innehållade orden otc derivatives.

1. 1. Using Data-Driven Feasible Region Approximations to Handle Nonlinear Constraints When Applying CMA-ES to the Initial Margin Optimization Problem

   Master-uppsats, KTH/Matematisk statistik

   Författare :Karl Wallström; [2021]
   Nyckelord :Optimization; Initial margin; Evolutionary algorithms; CMA-ES; Support vector machines; Boundary constraint handling; Nonlinear constraints; Repair algorithms; Feasible region approximation; Optimering; Initial margin; Evolutionära algoritmer; CMA-ES; Support vector machines; Hantering av bivillkor; Icke-linjära bivillkor; Reparationsalgoritmer; Approximation av tillåtet område;

   Sammanfattning : The introduction of initial margin requirements for non-cleared OTC derivatives has made it possible to optimize initial margin when considering a network of trading participants. Applying CMA-ES, this thesis has explored a new method to handle the nonlinear constraints present in the initial margin optimization problem. LÄS MER

3. 2. Convergence Properties for Different Null Space Bases When Solving the Initial Margin Optimization Problem Using CMA-ES

   Master-uppsats, KTH/Matematisk statistik

   Författare :Jacob Barnholdt; Filip Carlsson; [2020]
   Nyckelord :Financial mathematics; CMA-ES; Optimization; Initial Margin; Null space representations; Finansiell matematik; CMA-ES; Optimering; Initial Margin; Nollrumsrepresentationer;

   Sammanfattning : This thesis evaluates how the evolutionary algorithm CMA-ES (Covariance Matrix Adaption Evolution Strategy) can be used for optimizing the total initial margin for a network of banks trading bilateral OTC derivatives. The algorithm is a stochastic method for optimization of non-linear and, but not limited to, non-convex functions. LÄS MER

4. 3. On the Proxy Modelling of Risk-Neutral Default Probabilities

   Master-uppsats, KTH/Matematisk statistik

   Författare :Edvin Lundström; [2020]
   Nyckelord :Counterparty Credit Risk; Credit Valuation Adjustment; CVA; Credit modelling; Reduced form model; Proxy model; Hazard rate; Cross-section model; Nomura model; Motpartsrisk; Kreditvärderingsjustering; CVA; Kreditmodellering; Proxymodellering; Nomuramodellen;

   Sammanfattning : Since the default of Lehman Brothers in 2008, it has become increasingly important to measure, manage and price the default risk in financial derivatives. Default risk in financial derivatives is referred to as counterparty credit risk (CCR). The price of CCR is captured in Credit Valuation Adjustment (CVA). LÄS MER

5. 4. Backtesting of simulated method for Counterparty Credit Risk

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

   Författare :Love Lundström; Oscar Öhman; [2020]
   Nyckelord :Counterparty Credit Risk; Risk Factor; Monte Carlo Simulation; Quantitative Backtesting; Statistical Backtesting; OTC Derivative;

   Sammanfattning : After the financial crisis of 2008 regulators found that the derivative market, where financial institutions traded OTC derivatives with each other, played a significantrole in triggering the crisis. This led to the emergence of Counterparty Credit Risk(CCR) which is used to measure the exposure banks have to their counterparties. LÄS MER

7. 5. 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