Essays about: "Counterparty Credit Risk"
Showing result 16 - 20 of 34 essays containing the words Counterparty Credit Risk.
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16. A study of the Basel III CVA formula
University essay fromAbstract : 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
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17. Credit Risk Modeling and Implementation
University essay from Umeå universitet/Institutionen för fysikAbstract : 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
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18. 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
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19. Counterparty Credit Exposures for Interest Rate Derivatives using Stochastic Grid Bundling Method and Change of Measure
University essay from Lunds universitet/Matematisk statistikAbstract : 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
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20. Counterparty Credit Risk on the Blockchain
University essay from KTH/Matematisk statistikAbstract : 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