Essays about: "Counterparty Credit Risk"

Showing result 11 - 15 of 34 essays containing the words Counterparty Credit Risk.

1. 11. Implementing and testing possible hedging strategies to minimise value fluctuations in a defaulted portfolio

   University essay from Umeå universitet/Institutionen för fysik

   Author : Gabriel Nilsson; [2019]
   Keywords : ;

   Abstract : A Central Counterparty (CCP) handles clearing between its members and can mutualise and reduce the counterparty and credit risk in a network. In the case of a clearing member defaulting on its obligations, the defaulted portfolio will be taken over by the CCP, which will attempt to close out the positions as quickly as possible. READ MORE

3. 12. Study and Case of Wrong-Way Risk : Explorative Search for Wrong-Way Risk

   University essay from Karlstads universitet/Handelshögskolan (from 2013)

   Author : Jonathan Grönberg; [2019]
   Keywords : Wrong-way risk; Credit value adjustment; Debit value adjustment; Bilateral credit value adjustment; Felvägsrisk; Kreditvärdesjustering; Debetvärdesjustering; Bilateral kreditvärdesjustering;

   Abstract : Usage of financial measurements that address the default probability of counterparties have been market practice for some time. Quantifying counterparty credit risk is usually done through the credit value adjustment which adjusts the value from a risk-free value to a risky value. READ MORE

4. 13. Efficient Monte Carlo Simulation for Counterparty Credit Risk Modeling

   University essay from KTH/Matematisk statistik

   Author : Sam Johansson; [2019]
   Keywords : CCR; OTC derivatives; European option; Bermudan option; CVA; jump-diffusion model; stochastic intensity model; Monte Carlo; variance reduction; importance sampling; least squares Monte Carlo; CCR; OTC-derivat; europeisk option; Bermuda-option; CVA; jump-diffusion-modell; stokastisk intensitetsmodell; Monte Carlo; variansreduktion; importance sampling; least squares Monte Carlo;

   Abstract : In this paper, Monte Carlo simulation for CCR (Counterparty Credit Risk) modeling is investigated. A jump-diffusion model, Bates' model, is used to describe the price process of an asset, and the counterparty default probability is described by a stochastic intensity model with constant intensity. READ MORE

5. 14. Hedging Error in CVA : Impact of inconsistency between simulation and pricing models

   University essay from KTH/Matematisk statistik

   Author : Greta Graziani; [2018]
   Keywords : ;

   Abstract : The aim of this thesis is to investigate thehedging error in Credit Value Adjustment (CVA) produced by using a model forthe simulation of the risk factors different from the one used in the pricingof the derivative contract. The hypothesis is that this inconsistency betweensimulation and pricing models affects the CVA leading to an error in thehedging of credit counterparty risk. READ MORE

6. 15. Counterparty Credit Risk Efficieny of Central Clearing

   University essay from Göteborgs universitet/Graduate School

   Author : Felix Salat; [2017-07-26]
   Keywords : Risk Management; Counterparty Credit Risk; OTC Derivatives; Central Clearing; Multilateral Netting; Bilateral Netting;

   Abstract : 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