Essays about: "Collateral optimization"

Found 5 essays containing the words Collateral optimization.

1. 1. Minimizing initial margin requirements using computational optimization

   University essay from Umeå universitet/Institutionen för datavetenskap

   Author : Jacob Ahlman Bohm; [2023]
   Keywords : optimization; initial margin; simulated annealing; particle swarm optimization; differential evolution;

   Abstract : Trading contracts with future commitments requires posting a collateral, called initial margin requirement, to cover associated risks. Differences in estimating those risks and varying risk appetites can however lead to identical contracts having different initial margin requirements at different market places. READ MORE

3. 2. Optimization of Collateral Allocation for Corporate Loans : A nonlinear network problem minimizing the expected loss in case of default

   University essay from KTH/Matematik (Avd.)

   Author : Sofia Grägg; Paula Isacson; [2022]
   Keywords : Nonlinear optimization; network problem; transportation problem; Markowitz; credit risk; Loss Given Default; Loan to Value; collateral management; many-to-many relations; modern portfolio theory; expected loss; risk management; optimization; allocation; portfolio; modeling; Icke-linjär optimering; nätverksproblem; transportproblem; Markowitz; kreditrisk; förlust givet fallisemang; belåningsgrad; säkerhetshantering; många-till-många relationer; modern portföljteori; förväntad förlust; riskhantering; optimering; allokering; portfölj; modellering.;

   Abstract : Collateral management has become an increasingly valuable aspect of credit risk. Managing collaterals and constructing accurate models for decision making can give any lender a competitive advantage and decrease overall risks. READ MORE

4. 3. Optimization of Collateral allocation for Securities Lending : An Integer Linear Programming Approach

   University essay from KTH/Optimeringslära och systemteori

   Author : Magnus Orrsveden; Emil Tarukoski; [2019]
   Keywords : Collateral Management; Collateral optimization; Operations Research; Linear Programming; Collateral Management; Collateral optimization; Operations Research; Linear Programming;

   Abstract : Collateral management has, during the most recent years, been an increasingly important part of a bank’s operation. The bank is facing an allocation problem of how to post collateral to all its counterparties in order to mitigate the credit risk and the number of transactions that requires collateralization is increasing. READ MORE

5. 4. Design of a multi-asset-backed stablecoin and a multilateral order matching system

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

   Author : Henrik Westerberg; [2019]
   Keywords : ;

   Abstract : Cryptocurrencies, specifically designed for price stability, called stablecoins, have emerged to counteract the volatility that has been prevalent in cryptocurrency markets over the past decade. Stablecoins often use one, or in some cases, multiple collateral assets to maintain a stable value. READ MORE

6. 5. Collateral Optimization

   University essay from Umeå universitet/Institutionen för fysik

   Author : Johanna Bylund; [2017]
   Keywords : ;

   Abstract : .... READ MORE