Essays about: "Susanna Haglund"

Found 1 essay containing the words Susanna Haglund.

  1. 1. Exposure At Default During Financial Stress - A Comparative Study

    University essay from Lunds universitet/Matematisk statistik

    Author : Susanna Haglund; Julia Ripa; [2016]
    Keywords : Exposure At Default; EAD; Interest Rate Swap; Kalman Filter; Monte Carlo; Real World Probability Measure; Risk Neutral Probability Measure; Vasicek Model.; Mathematics and Statistics;

    Abstract : In recent years the capital requirements for banks have been updated which has complicated the pricing procedure for derivatives. Nordea has developed a proxy model that approximates the risk measure Exposure At Default, which is an important component in the recently updated requirements. READ MORE