Essays about: "Credit derivatives and risk management"

Showing result 1 - 5 of 8 essays containing the words Credit derivatives and risk management.

1. 1. Counterparty Credit Risk Efficieny of Central Clearing

   University essay from Göteborgs universitet/Graduate School

   Author : Felix Salat; [2017-07-26]
   Keywords : Risk Management; Counterparty Credit Risk; OTC Derivatives; Central Clearing; Multilateral Netting; Bilateral Netting;

   Abstract : In this thesis, we aim to show effects of centrally clearing OTC derivatives on counterparty exposures. Central clearing is the process of replacing bilateral exposures from transactions with a network of multilateral exposures. In all transactions, a central counterparty (CCP) is the intermediary, acting as a buyer to each seller and vice versa. READ MORE

3. 2. Counterparty Credit Exposures for Interest Rate Derivatives using Stochastic Grid Bundling Method and Change of Measure

   University essay from Lunds universitet/Matematisk statistik

   Author : Johan Gustavsson; [2017]
   Keywords : OTC; Counterparty credit risk; HW1F; Market price of risk; CVA; Potential Future Exposure; Expected Exposure; Bermudan swaption; Stochastic Grid Bundling Method; SGBM.; Mathematics and Statistics;

   Abstract : 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

4. 3. Central Counterparties. A Numerical Implementation of the Default Waterfall

   University essay from Göteborgs universitet/Graduate School

   Author : Karl Ejvegård; Christian Romaniello; [2016-09-21]
   Keywords : Risk Management; Central Counterparty; Risk; Stochastic Models; Monte Carlo Simulation; Mixed Binomial Models; Interest Rate Swap;

   Abstract : This thesis studies so called Central Counterparties (CCP), nancial institutions which consist of clearing members, such as large banks. CCPs have the role of centralizing, mutualizing and reducing counterparty risk, by acting as an intermediate in nancial transactions. READ MORE

5. 4. Credit derivatives in Swedish banks : Both sides of the coin

   University essay from Institutionen för ekonomisk och industriell utveckling; Filosofiska fakulteten

   Author : Karin Boman; Émile Sohier; [2011]
   Keywords : Credit derivatives; credit default swap; collateralized debt obligation; Swedish banks; risk management; hedging; central clearing; OTC;

   Abstract : Background: The financial crisis of 2007-2010 had a massive impact on the financial markets worldwide. The crisis was partly blamed on the credit derivatives collateralized debt obligations and credit default swaps. These instruments were used to create leverage and speculation, which led to uncertainty in the financial system worldwide. READ MORE

6. 5. Emission allowance origination and trading : How does it affect ABB and its Group Treasury Operations?

   University essay from Produktionsekonomi; Institutionen för ekonomisk och industriell utveckling

   Author : Jonas Lindqvist; Linus Lund; [2009]
   Keywords : ;

   Abstract : The purpose of the thesis is to determine how ABB’s treasury department (GTO) should respond to an increasing awareness and interest in the carbon credit markets. Emission caps have been introduced on national levels and also for certain industries in Europe as a consequence of the Kyoto Protocol. READ MORE