Essays about: "motpartsrisk"

Found 5 essays containing the word motpartsrisk.

1. 1. A Study of Risk Factor Models: Theoretical Derivations and Practical Applications

   University essay from KTH/Matematik (Avd.)

   Author : Yuanlin Dong; [2023]
   Keywords : interest rates; foreign exchange rates; models; counterparty credit risk; räntor; valutakurser; modeller; motpartsrisk;

   Abstract : This thesis provides an end-to-end picture of the modelling of interest rates and Foreign Exchange (FX) rates. We start by defining the FX rates and the interest rates. After having a good understanding of the basics, we take a deep dive into the approaches commonly used to model interest rates and FX rates respectively. READ MORE

3. 2. Mixed Integer Linear Programming for Allocation of Collateral within Securities Lending

   University essay from KTH/Optimeringslära och systemteori

   Author : Martin Wass; [2020]
   Keywords : Collateral; collateral management; optimisation; mixed integer linear programming; collateral allocation; opportunity cost; triparty collateral management; counterparty risk; Säkerheter; säkerhetshantering; optimering; blandat-heltal linjär programmering; alternativkostnad; motpartsrisk; tripartykostnad;

   Abstract : A mixed integer linear programming formulation is used to solve the problem of allocating assets from a bank to its counterparties as collateral within securities lending. The aim of the optimisation is to reduce the cost of allocated collateral, which is broken down into the components opportunity cost, counterparty risk cost and triparty cost. READ MORE

4. 3. On the Proxy Modelling of Risk-Neutral Default Probabilities

   University essay from KTH/Matematisk statistik

   Author : Edvin Lundström; [2020]
   Keywords : Counterparty Credit Risk; Credit Valuation Adjustment; CVA; Credit modelling; Reduced form model; Proxy model; Hazard rate; Cross-section model; Nomura model; Motpartsrisk; Kreditvärderingsjustering; CVA; Kreditmodellering; Proxymodellering; Nomuramodellen;

   Abstract : Since the default of Lehman Brothers in 2008, it has become increasingly important to measure, manage and price the default risk in financial derivatives. Default risk in financial derivatives is referred to as counterparty credit risk (CCR). The price of CCR is captured in Credit Valuation Adjustment (CVA). READ MORE

5. 4. Counterparty Credit Risk on the Blockchain

   University essay from KTH/Matematisk statistik

   Author : Isak Starlander; [2017]
   Keywords : Counterparty Credit Risk; Expected Loss; Blockchain; Smart Contracts; Motpartsrisk; Förväntad Förlust; Blockkedjan; Smarta Kontrakt;

   Abstract : Counterparty credit risk is present in trades offinancial obligations. This master thesis investigates the up and comingtechnology blockchain and how it could be used to mitigate counterparty creditrisk. The study intends to cover essentials of the mathematical model expectedloss, along with an introduction to the blockchain technology. READ MORE

6. 5. Credit Value Adjustment: The Aspects of Pricing Counterparty Credit Risk on Interest Rate Swaps

   University essay from KTH/Matematisk statistik

   Author : Martin Hellander; [2015]
   Keywords : OTC derivatives; Credit Value Adjustment; Debit Value Adjustment; wrongway risk; interest rate swaps; LIBOR Market Model; Cox-Ingersoll-Ross process.;

   Abstract : In this thesis, the pricing of counterparty credit risk on an OTC plain vanilla interest rate swap is investigated. Counterparty credit risk can be defined as the risk that a counterparty in a financial contract might not be able or willing to fulfil their obligations. This risk has to be taken into account in the valuation of an OTC derivative. READ MORE