Essays about: "Interest Rate Swaps"

Showing result 16 - 20 of 33 essays containing the words Interest Rate Swaps.

  1. 16. CVA for IR-Swaps under Wrong Way Risk. A numerical evaluation using a semi-analytical model

    University essay from Göteborgs universitet/Graduate School

    Author : Berglind Halldórsdóttir; Weili Zhang; [2016-09-21]
    Keywords : Credit Value Adjustment; Wrong Way Risk; Interest Rate Swap; Credit Default Swap; Homogeneous CVA Portfolio; Heterogeneous CVA Portfolio; Semi-Analytical Model;

    Abstract : This thesis examines the background and nature of credit value adjustment (CVA), a concept that has heightened in its importance in the financial market after the 2008 financial crisis. Credit value adjustment is defined as a price deducted from the risk-free value of a bilateral derivative to adjust for the counterparty credit risk (CCR). READ MORE

  3. 17. The negative intereste rate’s effect on the real estate market and its participents

    University essay from KTH/Fastigheter och byggande

    Author : Safir Ismail; Axel Kristola Truc; [2016]
    Keywords : Negative interest rate; real estate valuation; interest rate’s swaps; behaviour economics; Negativ ränta; fastighetsvädering; ränteswappar; beteendeekonomi;

    Abstract : When the Riksbank took the historic decision to cut the repo rate below zero, forecast at the same time was that it would be back on positive ground by the end of 2016. Now that the repo rate is adjusted down further Riksbank predicts that interest rates will remain negative until at least the turn of the year 2017-2018. READ MORE

  4. 18. Theoretical incentives vs. perceived motives for using interest rate derivatives in Swedish corporations

    University essay from KTH/Industriell ekonomi och organisation (Inst.)

    Author : Daniel Fodor; [2015]
    Keywords : Interest rate derivatives; Swaps; Basel; CVA; FVA; Hedge accounting; Corporate hedging; Räntederivat; Swappar; Basel; CVA; FVA; Hedge accounting; Hedging i företag;

    Abstract : The purpose of this research is to highlight if contemporary practices for using interest rate derivatives in large non-financial Swedish corporations are consistent with theoretical incentives for using such derivative instruments. Most theoretical incentives were developed before the financial crisis of 2007-08. READ MORE

  5. 19. Hedging Interest Rate Swaps

    University essay from KTH/Matematisk statistik

    Author : Lovisa Jangenstål; [2015]
    Keywords : ;

    Abstract : This thesis investigates hedging strategies for a book of interest rate swaps of the currencies EUR and SEK. The aim is to minimize the variance of the portfolio and keep the transaction costs down. The analysis is performed using historical simulation for two different cases. READ MORE

  6. 20. Collateral choice option valuation

    University essay from KTH/Matematisk statistik

    Author : Sébastian Mollaret; [2015]
    Keywords : Collateral; optimal collateral posting; multi-currency collateral; collateral pricing; collateral discounting; conditional independence.;

    Abstract : A bank borrowing some money has to give some securities to the lender, which is called collateral. Different kinds of collateral can be posted, like cash in different currencies or a stock portfolio depending on the terms of the contract, which is called a Credit Support Annex (CSA). READ MORE