Essays about: "Kreditswappar"
Found 4 essays containing the word Kreditswappar.
-
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
-
2. 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
-
3. Credit Risk Modeling and Implementation
University essay from Umeå universitet/Institutionen för fysikAbstract : The financial crisis and the bankruptcy of Lehman Brothers in 2008 lead to harder regulations for the banking industry which included larger capital reserves for the banks. One of the parts that contributed to this increased capital reserve was the the credit valuation adjustment capital charge which can be explained as the market value of the counterparty default risk. READ MORE
-
4. Exploring the Factors of the Credit Default Swap Spread in Different Business Sectors
University essay from KTH/Matematisk statistikAbstract : In this study, we investigate the effect of market factors on credit default swap spreads aggregated by specific business sectors. The market factors include commodity spot prices, foreign exchange spot prices, equity index prices and interest swap rates. READ MORE