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Showing result 1 - 5 of 34 essays matching the above criteria.

1. 1. ON THE CVA OF CREDIT DEFAULT SWAPS: THE IMPLICATION OF DEPENDENCE USING A COPULA APPROACH

   University essay from Göteborgs universitet/Graduate School

   Author : Sebastian Alm; Joel Fredriksson Pregmark; [2023-06-29]
   Keywords : Credit Value Adjustment; Counterparty Credit Risk; Wrong Way Risk; Credit Default Swap; Semi-Analytical Model; Interest Rate Swap;

   Abstract : This study examines the nature and background to the Credit Value Adjustment(CVA), a concept that has gained focus due the it’s heightened importance for financial institutions subsequent to the 2008 financial crisis. CVA can be defined as the the price that should be added to the bilateral defaultable contract to adjust for the existing Counterparty Credit Risk (CCR) so that the contract will have the same value as a corresponding risk-free contract. READ MORE

3. 2. Modelling Proxy Credit Cruves Using Recurrent Neural Networks

   University essay from KTH/Matematisk statistik

   Author : Lucas Fageräng; Hugo Thoursie; [2023]
   Keywords : Deep Neural Networks; Credit Risk; Financial Modelling; LSTM; Credit Default Swaps; Credit Valuation Adjustment; Djupa Neurala Nätverk; Kreditrisk; Finansiell Modellering; LSTM; Kreditswappar; Kreditvärderingsjustering;

   Abstract : Since the global financial crisis of 2008, regulatory bodies worldwide have implementedincreasingly stringent requirements for measuring and pricing default risk in financialderivatives. Counterparty Credit Risk (CCR) serves as the measure for default risk infinancial derivatives, and Credit Valuation Adjustment (CVA) is the pricing method used toincorporate this default risk into derivatives prices. READ MORE

4. 3. A Study of Risk Factor Models: Theoretical Derivations and Practical Applications

   University essay from KTH/Matematik (Avd.)

   Author : Yuanlin Dong; [2023]
   Keywords : interest rates; foreign exchange rates; models; counterparty credit risk; räntor; valutakurser; modeller; motpartsrisk;

   Abstract : This thesis provides an end-to-end picture of the modelling of interest rates and Foreign Exchange (FX) rates. We start by defining the FX rates and the interest rates. After having a good understanding of the basics, we take a deep dive into the approaches commonly used to model interest rates and FX rates respectively. READ MORE

5. 4. Credit Exposure Modelling Using Differential Machine Learning

   University essay from Lunds universitet/Matematisk statistik

   Author : Måns Karp; Samuel Wagner; [2023]
   Keywords : Counterparty credit risk; Differential machine learning; Exposure modelling; Heston model; Option pricing; Mathematics and Statistics;

   Abstract : Exposure modelling is a critical aspect of managing counterparty credit risk, and banks worldwide invest significant time and computational resources in this task. One approach to modelling exposure involves pricing trades with a counterparty in numerous potential future market scenarios. READ MORE

6. 5. Neural Networks for Credit Risk and xVA in a Front Office Pricing Environment

   University essay from Lunds universitet/Matematisk statistik

   Author : Isabelle Frodé; Viktor Sambergs; [2022]
   Keywords : xVA; CVA; OTC; Counterparty Credit Risk; Interest Rate Swaps; Hull-White Model; Machine Learning; Artificial Neural Networks; Gated Recurrent Units; Mathematics and Statistics;

   Abstract : We present a data-driven proof of concept model capable of reproducing expected counterparty credit exposures from market and trade data. The model has its greatest advantages in quick single-contract exposure evaluations that could be used in front office xVA solutions. The data was generated using short rates from the Hull-White One-Factor model. READ MORE