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Showing result 1 - 5 of 9 essays matching the above criteria.
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1. Modeling Credit Default Swap Spreads with Transformers : A Thesis in collaboration with Handelsbanken
University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)Abstract : In the aftermath of the credit crisis in 2007, the importance of Credit Valuation Adjustment (CVA) rose in the Over The Counter (OTC) derivative pricing process. One important part of the pricing process is to determine Probability of Defaults (PDs) of the counterparty in question. READ MORE
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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
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3. Backtesting of simulated method for Counterparty Credit Risk
University essay from Umeå universitet/Institutionen för matematik och matematisk statistikAbstract : After the financial crisis of 2008 regulators found that the derivative market, where financial institutions traded OTC derivatives with each other, played a significantrole in triggering the crisis. This led to the emergence of Counterparty Credit Risk(CCR) which is used to measure the exposure banks have to their counterparties. READ MORE
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4. Counterparty Credit Risk Efficieny of Central Clearing
University essay from Göteborgs universitet/Graduate SchoolAbstract : 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
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5. The Viability of Cluster Based Representations for Classification of Over the Counter Derivative Populations
University essay from KTH/Skolan för datavetenskap och kommunikation (CSC)Abstract : A population of financial derivatives can be compressed if a subset of derivatives yield a net cash flow that lies within a given tolerance level between the parties involved. To conduct a correct population compression, it is essential that all derivatives of the involved parties are present in the derivative set. READ MORE