Essays about: "OTC derivatives"

Showing result 11 - 15 of 17 essays containing the words OTC derivatives.

  1. 11. The New Standardized Approach for Measuring Counterparty Credit Risk

    University essay from KTH/Matematisk statistik

    Author : Sara Jonsson; Beatrice Rönnlund; [2014]
    Keywords : ;

    Abstract : This study investigates the differences in calculationof exposure at default between the current exposure method (CEM) and the newstandardized approach for measuring counterparty credit risk exposures (SA-CCR)for over the counter (OTC) derivatives. The study intends to analyze theconsequence of the usage of different approaches for netting as well as the differencesin EAD between asset classes. READ MORE

  3. 12. Credit Valuation Adjustment: In theory and practice

    University essay from KTH/Matematisk statistik

    Author : Dan Franzén; Otto Sjöholm; [2014]
    Keywords : Basel II; Basel III; OTC Derivatives; Credit Valuation Adjustment; CVA;

    Abstract : This thesis is intended to give an overview of creditvaluation adjustment (CVA) and adjacent concepts. Firstly, the historicalevents that preceded the initiative to reform the Basel regulations and tointroduce CVA as a core component of counterparty credit risk are illustrated. READ MORE

  4. 13. Mandating Central Counterparty Clearing of OTC Derivatives. Extraterritorial Provisions and Cross-Border solutions

    University essay from Göteborgs universitet/Juridiska institutionen

    Author : Ida Nordenström; [2013-01-09]
    Keywords : ;

    Abstract : .... READ MORE

  5. 14. Credit Value Adjustment

    University essay from Lunds universitet/Matematisk statistik

    Author : Johan Ahlberg; [2013]
    Keywords : Basel III; Bilateral CVA; Counterparty credit risk; Credit value adjustment; CVA; CVA capital charge; DVA; OTC derivatives.; Mathematics and Statistics;

    Abstract : In this thesis the topic Counterparty Credit Risk in OTC derivative transactions is described and the pricing component arising from it, i.e., the Credit Value Adjustment (CVA), is discussed. READ MORE

  6. 15. Credit derivatives in Swedish banks : Both sides of the coin

    University essay from Institutionen för ekonomisk och industriell utveckling; Filosofiska fakulteten

    Author : Karin Boman; Émile Sohier; [2011]
    Keywords : Credit derivatives; credit default swap; collateralized debt obligation; Swedish banks; risk management; hedging; central clearing; OTC;

    Abstract : Background: The financial crisis of 2007-2010 had a massive impact on the financial markets worldwide. The crisis was partly blamed on the credit derivatives collateralized debt obligations and credit default swaps. These instruments were used to create leverage and speculation, which led to uncertainty in the financial system worldwide. READ MORE