Essays about: "Default intensity"

Showing result 1 - 5 of 12 essays containing the words Default intensity.

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

   University essay from Göteborgs universitet/Graduate School

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

   Abstract : 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. READ MORE

3. 2. SuDS water storage capacity calculator : A decision support tool for the implementation ofSustainable Drainage Systems in Östersund.

   University essay from Mittuniversitetet/Institutionen för ekoteknik- och hållbart byggande

   Author : Tess van der Hulle; [2022]
   Keywords : Sustainable Drainage Systems SuDS ; Decision Support Systems DSS ; precipitation; calculator; stormwater model; Östersund; Sweden;

   Abstract : Heavy precipitation events are expected to increase in intensity and frequency, due to global warming. Sewer systems might overload during heavy rainfall, resulting in floods which potentially affect all municipalities in Sweden. READ MORE

4. 3. Combining output from MS-based proteomics search engines using spectrum predictors

   University essay from KTH/Proteinvetenskap

   Author : William Hadd; [2022]
   Keywords : Mass spectrometry; Proteomics; machine learning; search engines; Masspektrometri; Proteomik; Maskininlärning; Transformers; Sökmotorer;

   Abstract : Masspektrometri (MS) är en analysmetod som indikerar provers kemiska sammansättning. Provernas innehåll fragmenteras och joniseras, varefter jonernas förhållande mellan massa och laddning (m/z) och sammanlagda intensiteter mäts i form av ett masspektrum. READ MORE

5. 4. Pricing of Embedded Options: Implementing Stochastic Interest Rates & Stochastic Spread

   University essay from Lunds universitet/Matematisk statistik

   Author : Jan Müller; [2022]
   Keywords : Option pricing; Callable bonds; Affine term structure models; Hull-White one-factor; Hull White two-factor; Trinomial trees; Short rate; Default intensity; Swaption volatilities; Black-76; Credit derivatives; Calibration; Optimisation.; Mathematics and Statistics;

   Abstract : Given the current market climate, in an era of negative interest-rates, the Hull-White model has regained popularity in the eyes of investors. This thesis aims to extend this model to incorporate credit risk, to allow the modelling of credit derivatives such as diff swaps, defaultable corporate bonds and credit default swaps. READ MORE

6. 5. Simulation and Measurement of Body Absorption for 5G/6G Frequency Bands

   University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

   Author : Maximilian Korac Dalenmark; Frida Skarf; [2021]
   Keywords : SAR; 5G; antennas; anechoic chamber; skin-like phantom; bio-heat equation;

   Abstract : For the future implementation of high speed communication,safety remains one of the main concerns. To ensurethe safety of new applications, specifically the new 5G antennas,it is crucial to know that they will not cause any harm to thehuman body. READ MORE