Essays about: "OTC Derivatives"
Showing result 1 - 5 of 17 essays containing the words OTC Derivatives.
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1. Using Data-Driven Feasible Region Approximations to Handle Nonlinear Constraints When Applying CMA-ES to the Initial Margin Optimization Problem
University essay from KTH/Matematisk statistikAbstract : The introduction of initial margin requirements for non-cleared OTC derivatives has made it possible to optimize initial margin when considering a network of trading participants. Applying CMA-ES, this thesis has explored a new method to handle the nonlinear constraints present in the initial margin optimization problem. READ MORE
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2. Convergence Properties for Different Null Space Bases When Solving the Initial Margin Optimization Problem Using CMA-ES
University essay from KTH/Matematisk statistikAbstract : This thesis evaluates how the evolutionary algorithm CMA-ES (Covariance Matrix Adaption Evolution Strategy) can be used for optimizing the total initial margin for a network of banks trading bilateral OTC derivatives. The algorithm is a stochastic method for optimization of non-linear and, but not limited to, non-convex functions. READ MORE
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3. 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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4. 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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5. Efficient Monte Carlo Simulation for Counterparty Credit Risk Modeling
University essay from KTH/Matematisk statistikAbstract : In this paper, Monte Carlo simulation for CCR (Counterparty Credit Risk) modeling is investigated. A jump-diffusion model, Bates' model, is used to describe the price process of an asset, and the counterparty default probability is described by a stochastic intensity model with constant intensity. READ MORE