Essays about: "Counterparty Credit Risk"

Showing result 26 - 30 of 34 essays containing the words Counterparty Credit Risk.

  1. 26. The New Standardized Approach for Measuring Counterparty Credit Risk

    University essay from KTH/Matematisk statistik

    Author : Sara Jonsson; Beatrice Rönnlund; [2014]
    Keywords : ;

    Abstract : This study investigates the differences in calculationof exposure at default between the current exposure method (CEM) and the newstandardized approach for measuring counterparty credit risk exposures (SA-CCR)for over the counter (OTC) derivatives. The study intends to analyze theconsequence of the usage of different approaches for netting as well as the differencesin EAD between asset classes. READ MORE

  3. 27. Estimating Probability of Default Using Rating Migrations in Discrete and Continuous Time

    University essay from KTH/Matematisk statistik

    Author : Rickard Gunnvald; [2014]
    Keywords : ;

    Abstract : During the financial crisis that began in 2008, even whole countries and very large companies defaulted or were on the verge of defaulting. The turmoil made risk managers and regulators more vigilant in scrutinising their risk assessment. READ MORE

  4. 28. Credit Valuation Adjustment: In theory and practice

    University essay from KTH/Matematisk statistik

    Author : Dan Franzén; Otto Sjöholm; [2014]
    Keywords : Basel II; Basel III; OTC Derivatives; Credit Valuation Adjustment; CVA;

    Abstract : This thesis is intended to give an overview of creditvaluation adjustment (CVA) and adjacent concepts. Firstly, the historicalevents that preceded the initiative to reform the Basel regulations and tointroduce CVA as a core component of counterparty credit risk are illustrated. READ MORE

  5. 29. Modeling CVA for interest rate swaps in a CIR-framework

    University essay from Göteborgs universitet/Graduate School

    Author : Ge Chen; Lukas Norman; [2013-07-02]
    Keywords : ;

    Abstract : Knowing the true Counterparty Credit Risk (CCR) and accurately account for it, is vital in maintaining a stable financial system. The Basel committee noted that during the financial crisis of 2008-2009, about 70% of losses related to CCR actually came from volatility in the Credit Value Adjustment (CVA) instead of actual defaults. READ MORE

  6. 30. Credit Value Adjustment

    University essay from Lunds universitet/Matematisk statistik

    Author : Johan Ahlberg; [2013]
    Keywords : Basel III; Bilateral CVA; Counterparty credit risk; Credit value adjustment; CVA; CVA capital charge; DVA; OTC derivatives.; Mathematics and Statistics;

    Abstract : In this thesis the topic Counterparty Credit Risk in OTC derivative transactions is described and the pricing component arising from it, i.e., the Credit Value Adjustment (CVA), is discussed. READ MORE