Essays about: "Central Counterparties"
Showing result 1 - 5 of 8 essays containing the words Central Counterparties.
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1. Scenario Generation for Stress Testing Using Generative Adversarial Networks : Deep Learning Approach to Generate Extreme but Plausible Scenarios
University essay from Umeå universitet/Institutionen för matematik och matematisk statistikAbstract : Central Clearing Counterparties play a crucial role in financial markets, requiring robust risk management practices to ensure operational stability. A growing emphasis on risk analysis and stress testing from regulators has led to the need for sophisticated tools that can model extreme but plausible market scenarios. READ MORE
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2. Model for Central Counterparty Risk with Stochastic Default Intensities
University essay from Göteborgs universitet/Graduate SchoolAbstract : In this thesis we use a dynamic model to compute several margins required by a central counterparty, the central clearing house (CCP), to the participants, called clearing members (CM). These margins form the so called default waterfall. In this market only credit default swaps (CDS) are exchanged. READ MORE
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3. Optimal financial resources for Central Counterparties: Introducing default dependence of clearing members: a mixed binomial approach
University essay from Göteborgs universitet/Graduate SchoolAbstract : Central counterparties (CCPs) are ˝nancial intermediaries consisting of clearing members trading ˝nancial derivatives between each other. In a ˝nancial network, CCPs become the buyer to every seller and the seller to every buyer. READ MORE
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4. Counterparty Credit Risk Efficieny of Central Clearing
University essay from Göteborgs universitet/Graduate SchoolAbstract : In this thesis, we aim to show effects of centrally clearing OTC derivatives on counterparty exposures. Central clearing is the process of replacing bilateral exposures from transactions with a network of multilateral exposures. In all transactions, a central counterparty (CCP) is the intermediary, acting as a buyer to each seller and vice versa. READ MORE
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5. Assesing counterparty risk classification using transition matrices : Comparing models' predictive ability
University essay from Umeå universitet/Institutionen för matematik och matematisk statistikAbstract : An important part when managing credit risk is to assess the probability of default of different counterparties. Increases and decreases in such probabil- ities are central components in the assessment, and this is where transition matrices become useful. READ MORE
