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Showing result 1 - 5 of 11 essays matching the above criteria.
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1. Modelling Proxy Credit Cruves Using Recurrent Neural Networks
University essay from KTH/Matematisk statistikAbstract : 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
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2. Modeling Credit Default Swap Spreads with Transformers : A Thesis in collaboration with Handelsbanken
University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)Abstract : In the aftermath of the credit crisis in 2007, the importance of Credit Valuation Adjustment (CVA) rose in the Over The Counter (OTC) derivative pricing process. One important part of the pricing process is to determine Probability of Defaults (PDs) of the counterparty in question. READ MORE
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3. On the Proxy Modelling of Risk-Neutral Default Probabilities
University essay from KTH/Matematisk statistikAbstract : 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
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4. Efficient Monte Carlo Simulation for Counterparty Credit Risk Modeling
University essay from KTH/Matematisk statistikAbstract : In this paper, Monte Carlo simulation for CCR (Counterparty Credit Risk) modeling is investigated. A jump-diffusion model, Bates' model, is used to describe the price process of an asset, and the counterparty default probability is described by a stochastic intensity model with constant intensity. READ MORE
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5. An Extreme Value Approach To Pricing Credit Risk
University essay from Lunds universitet/Matematisk statistikAbstract : An Extreme Value Approach To Pricing Credit Risk will outline the possibility to investigate a company’s price of risk over different time periods given a pre-defined risk level. With help of credit default swap (CDS) prices and extreme value theory the credit risk can be estimated for different return levels. READ MORE