Essays about: "Counterparty Credit Risk"

Showing result 6 - 10 of 34 essays containing the words Counterparty Credit Risk.

  1. 6. A comparison of the Basel III capital requirement models for financial institutions

    University essay from Lunds universitet/Matematisk statistik

    Author : Sara Johannesson; Amanda Wahlberg; [2022]
    Keywords : Basel III; Internal Model Method IMM ; Standardized Approch for Counterparty Credit Risk SA-CCR ; Counterparty Credit Risk; Capital Requirement; Mathematics and Statistics;

    Abstract : The purpose of this report is to implement and compare the two Basel III standard methods on how to calculate the capital requirement for finan- cial institutions, related to counterparty credit risk. The models being the Standardized Approach for Counterparty Credit Risk (SA-CCR) and the Internal Model Method (IMM). READ MORE

  3. 7. Model for Central Counterparty Risk with Stochastic Default Intensities

    University essay from Göteborgs universitet/Graduate School

    Author : Francesco Marconi; [2021-09-30]
    Keywords : ;

    Abstract : In this thesis we use a dynamic model to compute several margins required by a central counterparty, the central clearing house (CCP), to the participants, called clearing members (CM). These margins form the so called default waterfall. In this market only credit default swaps (CDS) are exchanged. READ MORE

  4. 8. Modern Credit Value Adjustment

    University essay from KTH/Matematik (Avd.)

    Author : Wojciech Ratusznik; [2021]
    Keywords : Credit Value Adjustment; Monte Carlo simulations; Artificial neural networks; Financial risk management; Stochastic calculus; Kreditvärdejustering; Monte Carlo simuleringar; Artificiella neurala nätverk; Riskvärdering; Stokastisk analys;

    Abstract : Counterparty risk calculations have gained importance after the latest financial crisis. The bankruptcy of Lehman Brothers showed that even large financial institutiones face a risk of default. Hence, it is important to measure the risk of default for all the contracts written between financial institutions. READ MORE

  5. 9. On the Proxy Modelling of Risk-Neutral Default Probabilities

    University essay from KTH/Matematisk statistik

    Author : Edvin Lundström; [2020]
    Keywords : Counterparty Credit Risk; Credit Valuation Adjustment; CVA; Credit modelling; Reduced form model; Proxy model; Hazard rate; Cross-section model; Nomura model; Motpartsrisk; Kreditvärderingsjustering; CVA; Kreditmodellering; Proxymodellering; Nomuramodellen;

    Abstract : Since the default of Lehman Brothers in 2008, it has become increasingly important to measure, manage and price the default risk in financial derivatives. Default risk in financial derivatives is referred to as counterparty credit risk (CCR). The price of CCR is captured in Credit Valuation Adjustment (CVA). READ MORE

  6. 10. Backtesting of simulated method for Counterparty Credit Risk

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

    Author : Love Lundström; Oscar Öhman; [2020]
    Keywords : Counterparty Credit Risk; Risk Factor; Monte Carlo Simulation; Quantitative Backtesting; Statistical Backtesting; OTC Derivative;

    Abstract : After the financial crisis of 2008 regulators found that the derivative market, where financial institutions traded OTC derivatives with each other, played a significantrole in triggering the crisis. This led to the emergence of Counterparty Credit Risk(CCR) which is used to measure the exposure banks have to their counterparties. READ MORE