Sökning: "swaps"

Visar resultat 1 - 5 av 118 uppsatser innehållade ordet swaps.

1. 1. ON THE CVA OF CREDIT DEFAULT SWAPS: THE IMPLICATION OF DEPENDENCE USING A COPULA APPROACH

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Sebastian Alm; Joel Fredriksson Pregmark; [2023-06-29]
   Nyckelord :Credit Value Adjustment; Counterparty Credit Risk; Wrong Way Risk; Credit Default Swap; Semi-Analytical Model; Interest Rate Swap;

   Sammanfattning : This study examines the nature and background to the Credit Value Adjustment(CVA), a concept that has gained focus due the it’s heightened importance for financial institutions subsequent to the 2008 financial crisis. CVA can be defined as the the price that should be added to the bilateral defaultable contract to adjust for the existing Counterparty Credit Risk (CCR) so that the contract will have the same value as a corresponding risk-free contract. LÄS MER

3. 2. 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

4. 3. 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

5. 4. Object Recognition and Tracking of Bolts: A Comparative Analysis of CNN Models and Computer Vision Techniques : A Comparison of CNN Models and Tracking Algorithms

   Master-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)

   Författare :Serhat Bulun; [2023]
   Nyckelord :;

   Sammanfattning : The newer generation industry 4.0 focuses on development of both flexibility and autonomy for power tools used by companies in different mechanical areas and assembly lines. One area for automation is the application of computer vision in power tools to detect, identify and track bolts. LÄS MER

7. 5. Modeling of Foreign Exchange Swap Distributions : A statistical evaluation of two stochastic models

   Master-uppsats, Linköpings universitet/Produktionsekonomi

   Författare :Ludvig Ehrenpreis; Eriksson Oscar; [2023]
   Nyckelord :term structure measurement; optimization; foreign exchange swaps; interest rates; FX; model comparison; FX swap models;

   Sammanfattning : The global foreign exchange (FX) market is one of the world's largest financial markets and a significant part of this market concerns the trading of FX swaps. For banks and other financial institutions, it is of great interest to model these swaps as accurately as possible, as this could improve their risk management. LÄS MER