Sökning: "swap pricing"

Visar resultat 1 - 5 av 33 uppsatser innehållade orden swap pricing.

1. 1. Do you want to swap? A study of the liquidity risk in the SEK interest rate swap market

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Viktor Edberg; Carl Hjelmqvist; [2023-06-29]
   Nyckelord :Bao; Pan; Wang indicator; Determinants; Dimensions of liquidity; Forward Rate Agreement; Fundamental Review of the Trading Book; Generalized least squares; Interest Rate Derivative; Interest Rate Swap; Liquidity horizon; Liquidity risk premium; Market liquidity; SVEN spread; Swap Spread; Swedish Government benchmark bond; Treasury-Eurodollar; Turnover ratio; Turnover-per-day; Volume-adjusted intraday volatility;

   Sammanfattning : Interest rate swaps are one of the world’s most essential interest rate derivatives. It is therefore important to understand the pricing of these agreements, and how the market is functioning. LÄS MER

3. 2. Modelling Proxy Credit Cruves Using Recurrent Neural Networks

   Master-uppsats, KTH/Matematisk statistik

   Författare :Lucas Fageräng; Hugo Thoursie; [2023]
   Nyckelord :Deep Neural Networks; Credit Risk; Financial Modelling; LSTM; Credit Default Swaps; Credit Valuation Adjustment; Djupa Neurala Nätverk; Kreditrisk; Finansiell Modellering; LSTM; Kreditswappar; Kreditvärderingsjustering;

   Sammanfattning : Since the global financial crisis of 2008, regulatory bodies worldwide have implementedincreasingly stringent requirements for measuring and pricing default risk in financialderivatives. Counterparty Credit Risk (CCR) serves as the measure for default risk infinancial derivatives, and Credit Valuation Adjustment (CVA) is the pricing method used toincorporate this default risk into derivatives prices. LÄS MER

4. 3. 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

5. 4. 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

7. 5. Swaptions from a Clearinghouse perspective : Hedging swaptions, an option on interest rate swaps, using compression

   Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för fysik

   Författare :Joel Forsberg; [2022]
   Nyckelord :Swaptions; Clearinghouse; Compression; Interest rate swap;

   Sammanfattning : With the increasing popularity of interest rate swaps the need to understandswaptions, an option of an interest rate swap, is of great importance. A swap-tion can be used in both speculative purposes and to hedge against changesin interest rates. The most important thing to understand is the pricing for-mula. LÄS MER