Sökning: "xVA"

Hittade 4 uppsatser innehållade ordet xVA.

  1. 1. 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

  3. 2. Efficient Barrier Option Greeks using Automatic Differentation

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Gustav Hedin; [2019]
    Nyckelord :Automatic Differentiation; Greeks; Barrier Option; Vibrato Monte Carlo; Mathematics and Statistics;

    Sammanfattning : Automatic Differentiation (AD) is an effective method for calculation of derivatives. It can evaluate an unlimited number of derivatives to a fixed cost relative to the computing time of the original function. The AD technique is used in many fields for large and complex calculations in order to get accurate values of derivatives fast. LÄS MER

  4. 3. X-Value Adjustments for Interest Rate Derivatives

    Master-uppsats, KTH/Matematisk statistik

    Författare :Mehdi Belkotain; [2018]
    Nyckelord :;

    Sammanfattning : In this report, we present the X-Value Adjustments and we introduce a simulation approach to compute these adjustments. We present the steps for the calculation of the Credit Value Adjustment (CVA) on interest rate derivatives as a practical example. LÄS MER

  5. 4. DVA in the Structured Notes Issuance Portfolio

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Sebastian Sohl; [2016]
    Nyckelord :xVA; DVA; Structured Notes;

    Sammanfattning : This thesis focus on the issuer credit risk in financial derivatives held by a structured notes desk. Post-crisis derivative valuation includes valuation adjustments for credit, collateral and funding risk, commonly referred to as xVA. LÄS MER