Essays about: "OTC derivatives"

Showing result 6 - 10 of 17 essays containing the words OTC derivatives.

  1. 6. Counterparty Credit Risk Efficieny of Central Clearing

    University essay from Göteborgs universitet/Graduate School

    Author : Felix Salat; [2017-07-26]
    Keywords : Risk Management; Counterparty Credit Risk; OTC Derivatives; Central Clearing; Multilateral Netting; Bilateral Netting;

    Abstract : 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

  3. 7. The Viability of Cluster Based Representations for Classification of Over the Counter Derivative Populations

    University essay from KTH/Skolan för datavetenskap och kommunikation (CSC)

    Author : Marcus Nordberg; [2017]
    Keywords : representation learning; clustering; otc derivatives; classification;

    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

  4. 8. 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

  5. 9. Central Counterparties. A Numerical Implementation of the Default Waterfall

    University essay from Göteborgs universitet/Graduate School

    Author : Karl Ejvegård; Christian Romaniello; [2016-09-21]
    Keywords : Risk Management; Central Counterparty; Risk; Stochastic Models; Monte Carlo Simulation; Mixed Binomial Models; Interest Rate Swap;

    Abstract : This thesis studies so called Central Counterparties (CCP), nancial institutions which consist of clearing members, such as large banks. CCPs have the role of centralizing, mutualizing and reducing counterparty risk, by acting as an intermediate in nancial transactions. READ MORE

  6. 10. Credit Value Adjustment: The Aspects of Pricing Counterparty Credit Risk on Interest Rate Swaps

    University essay from KTH/Matematisk statistik

    Author : Martin Hellander; [2015]
    Keywords : OTC derivatives; Credit Value Adjustment; Debit Value Adjustment; wrongway risk; interest rate swaps; LIBOR Market Model; Cox-Ingersoll-Ross process.;

    Abstract : In this thesis, the pricing of counterparty credit risk on an OTC plain vanilla interest rate swap is investigated. Counterparty credit risk can be defined as the risk that a counterparty in a financial contract might not be able or willing to fulfil their obligations. This risk has to be taken into account in the valuation of an OTC derivative. READ MORE