Essays about: "Interest Rate Swap"
Showing result 1 - 5 of 33 essays containing the words Interest Rate Swap.
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1. ON THE CVA OF CREDIT DEFAULT SWAPS: THE IMPLICATION OF DEPENDENCE USING A COPULA APPROACH
University essay from Göteborgs universitet/Graduate SchoolAbstract : 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
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2. Do you want to swap? A study of the liquidity risk in the SEK interest rate swap market
University essay from Göteborgs universitet/Graduate SchoolAbstract : 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. READ MORE
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3. Modeling of Foreign Exchange Swap Distributions : A statistical evaluation of two stochastic models
University essay from Linköpings universitet/ProduktionsekonomiAbstract : 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. READ MORE
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4. The Yield Gap : A comprehensive study of the yield spread between prime office yields and five-year swap rates in some of Europe’s most prominent commercial real estate markets
University essay from KTH/Fastighetsekonomi och finansAbstract : Global economies are currently in a tumultuous time with high economic distress, inflation, and volatile interest rate markets. Alongside the increased interest rate climate, yield returns throughout property sectors adjust to compensate for the increased risk. READ MORE
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5. A Journey Through the World of Compression with IRS Contracts
University essay from Umeå universitet/Institutionen för fysikAbstract : By participating in the market a party buys and sells different types of contracts resulting in the collection of contracts growing. With a large collection of contracts come the hurdles of an increasing operational cost, a harder-to-manage order book, and an increase in counterparty risk. READ MORE