Essays about: "Notional interest rate"

Showing result 1 - 5 of 6 essays containing the words Notional interest rate.

  1. 1. Swaptions from a Clearinghouse perspective : Hedging swaptions, an option on interest rate swaps, using compression

    University essay from Umeå universitet/Institutionen för fysik

    Author : Joel Forsberg; [2022]
    Keywords : Swaptions; Clearinghouse; Compression; Interest rate swap;

    Abstract : With the increasing popularity of interest rate swaps the need to understandswaptions, an option of an interest rate swap, is of great importance. A swap-tion can be used in both speculative purposes and to hedge against changesin interest rates. The most important thing to understand is the pricing for-mula. 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. Allowance for Corporate Equity - A solution to the debt equity bias in Sweden?

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Natasha Hillenius; [2014]
    Keywords : Allowance for Corporate Equity; ACE; Debt Equity Bias; Capital structure; Notional interest rate; Business and Economics;

    Abstract : The debt equity bias refers to the discrimination between debt and equity finance. This discrimination is problematic since it distorts companies’ decisions and increases systemic risk. READ MORE

  5. 4. Likviditetsanalys av belånade skogsfastigheter

    University essay from SLU/Dept. of Forest Products

    Author : Niklas Ringborg; [2013]
    Keywords : Kassaflöde; likviditet; risk; belåningsgrad; skogsfastighet;

    Abstract : Priset på skogsmark har under det senaste decenniet ökat kraftigt. Samtidigt har andra priser, som ligger till grund för kassaflöden på skogsfastigheter inte ökat i samma takt. Virkespriserna har varierat under de senaste tio åren med en pristopp under 2010-2011, priserna har sedan dess fallit tillbaka närmare 20 %. READ MORE

  6. 5. Curve Building and SwapPricing in the Presence of Collateral and Basis Spreads

    University essay from KTH/Matematisk statistik

    Author : Simon Gunnarsson; [2013]
    Keywords : Curve building; swap; basis spread; cross currency; collateral;

    Abstract : The eruption of the financial crisis in 2008 caused immense widening of both domestic and cross currency basis spreads. Also, as a majority of all fixed income contracts are now collateralized the funding cost of a financial institution may deviate substantially from the domestic Libor. READ MORE