Essays about: "Counterparty Credit Risk"

Showing result 16 - 20 of 34 essays containing the words Counterparty Credit Risk.

1. 16. A study of the Basel III CVA formula

   University essay from

   Author : Rickard Olovsson; Erik Sundberg; [2017-07-03]
   Keywords : Basel III; Credit Value Adjustment; Counterparty Credit Risk; Credit Default Swap; Interest Rate Swap; Piecewise Constant Default Intensity; Bootstrapping; Expected Exposure; Internal Model Method;

   Abstract : In this thesis we compare the official Basel III method for computing credit value adjustment (CVA) against a model that assumes piecewise constant default intensities for a number of both market and fictive scenarios. CVA is defined as the price deducted from the risk-free value of a bilateral derivative to adjust for the counterparty credit risk. READ MORE

3. 17. Credit Risk Modeling and Implementation

   University essay from Umeå universitet/Institutionen för fysik

   Author : Johan Gunnars; [2017]
   Keywords : CVA; CDS; hazard rate;

   Abstract : The financial crisis and the bankruptcy of Lehman Brothers in 2008 lead to harder regulations for the banking industry which included larger capital reserves for the banks. One of the parts that contributed to this increased capital reserve was the the credit valuation adjustment capital charge which can be explained as the market value of the counterparty default risk. READ MORE

4. 18. Assesing counterparty risk classification using transition matrices : Comparing models' predictive ability

   University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

   Author : Sebastian Pörn; Arvid Rönnblom; [2017]
   Keywords : Transition Matrices; Probability of default; Credit risk; one- parameter model; ordered probit model.;

   Abstract : 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

5. 19. Counterparty Credit Exposures for Interest Rate Derivatives using Stochastic Grid Bundling Method and Change of Measure

   University essay from Lunds universitet/Matematisk statistik

   Author : Johan Gustavsson; [2017]
   Keywords : OTC; Counterparty credit risk; HW1F; Market price of risk; CVA; Potential Future Exposure; Expected Exposure; Bermudan swaption; Stochastic Grid Bundling Method; SGBM.; Mathematics and Statistics;

   Abstract : The notional amounts outstanding of over-the-counter (OTC) derivatives had grown exponentially for almost two decades and its rapid growth were mainly due the increase in OTC interest rate derivatives. As of december 2014, the total notional amounts outstanding in the global OTC market was 630 trillions USD and the OTC interest rate derivatives represents about 80% of the market. READ MORE

6. 20. 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