Essays about: "Interest Rate Swaps"

Showing result 21 - 25 of 33 essays containing the words Interest Rate Swaps.

1. 21. Credit Value Adjustment: The Aspects of Pricing Counterparty Credit Risk on Interest Rate Swaps

   University essay from KTH/Matematisk statistik

   Author : Martin Hellander; [2015]
   Keywords : OTC derivatives; Credit Value Adjustment; Debit Value Adjustment; wrongway risk; interest rate swaps; LIBOR Market Model; Cox-Ingersoll-Ross process.;

   Abstract : In this thesis, the pricing of counterparty credit risk on an OTC plain vanilla interest rate swap is investigated. Counterparty credit risk can be defined as the risk that a counterparty in a financial contract might not be able or willing to fulfil their obligations. This risk has to be taken into account in the valuation of an OTC derivative. READ MORE

3. 22. Pricing Interest Rate Derivatives in the Multi-Curve Framework with a Stochastic Basis

   University essay from KTH/Matematisk statistik

   Author : Zakaria El Menouni; [2015]
   Keywords : ;

   Abstract : The financial crisis of 2007/2008 has brought about a lot of changes in the interest rate market in particular, as it has forced to review and modify the former pricing procedures and methodologies. As a consequence, the Multi-Curve framework has been adopted to deal with the inconsistencies of the frameworks used so far, namely the single-curve method. READ MORE

4. 23. Valuation of Interest Rate Swaps in the presence of Counterparty Credit Risk

   University essay from Göteborgs universitet/Graduate School

   Author : Robin Axelsson; [2014-11-26]
   Keywords : Interest Rate Swaps; Counterparty Credit Risk;

   Abstract : Insuring debt through credit default swaps (CDS) and collateralized debt obligations (CDO) has become increasingly more popular. Recent events such as the financial crisis of 2008 have shown that the credit models for these insurances have lacked severely in certain aspects. READ MORE

5. 24. Implications of Multiple Curve Construction in the Swedish Swap Market

   University essay from KTH/Entreprenörskap och Innovation

   Author : Erik Lidholm; Benjamin Nudel; [2014]
   Keywords : collateral; cross currency; discount curve; forward curve; forward starting; off-market; swap; Stibor; collateral; cross currency; diskonteringskurva; forwardkurva; forward starting; off-market; swap; Stibor;

   Abstract : The global financial crisis of 2007 caused abrupt changes in the financial markets. Interest rates that were known to follow each other diverged. Furthermore, both regulation and an increased awareness of counterparty credit risks have fuelled a growth of collateralised contracts. READ MORE

6. 25. Modeling CVA for interest rate swaps in a CIR-framework

   University essay from Göteborgs universitet/Graduate School

   Author : Ge Chen; Lukas Norman; [2013-07-02]
   Keywords : ;

   Abstract : Knowing the true Counterparty Credit Risk (CCR) and accurately account for it, is vital in maintaining a stable financial system. The Basel committee noted that during the financial crisis of 2008-2009, about 70% of losses related to CCR actually came from volatility in the Credit Value Adjustment (CVA) instead of actual defaults. READ MORE