Essays about: "OTC"

Showing result 1 - 5 of 31 essays containing the word OTC.

1. 1. Modeling Credit Default Swap Spreads with Transformers : A Thesis in collaboration with Handelsbanken

   University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

   Author : Johan Luhr; [2023]
   Keywords : Machine Learning; Transformer; Finance; Credit Default Swap; Credit Valuation Adjustment; Time Series Data; Maskininlärning; Transformer; Finance; Kreditswapp; Kredit Värderings Justering; Tidsserie data;

   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

3. 2. Do OTC warming effects on ecosystem processes depend on moss species identity, precipitation, and moss removal?

   University essay from Umeå universitet/Institutionen för ekologi, miljö och geovetenskap

   Author : Alexina Brännlund; [2023]
   Keywords : Experimental warming; Subarctic tundra mosses; Productivity; Ecosystem respiration; Decomposition;

   Abstract : Long-term warming experiments in arctic tundra have resulted in reduced moss cover and increased vascular plant cover. As mosses have a major impact on microclimatic conditions, changes in community composition can potentially alter direct and indirect drivers of productivity and decomposition, which are low in arctic ecosystems. READ MORE

4. 3. Neural Networks for Credit Risk and xVA in a Front Office Pricing Environment

   University essay from Lunds universitet/Matematisk statistik

   Author : Isabelle Frodé; Viktor Sambergs; [2022]
   Keywords : xVA; CVA; OTC; Counterparty Credit Risk; Interest Rate Swaps; Hull-White Model; Machine Learning; Artificial Neural Networks; Gated Recurrent Units; Mathematics and Statistics;

   Abstract : We present a data-driven proof of concept model capable of reproducing expected counterparty credit exposures from market and trade data. The model has its greatest advantages in quick single-contract exposure evaluations that could be used in front office xVA solutions. The data was generated using short rates from the Hull-White One-Factor model. READ MORE

5. 4. 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 statistik

   Author : Karl Wallström; [2021]
   Keywords : Optimization; Initial margin; Evolutionary algorithms; CMA-ES; Support vector machines; Boundary constraint handling; Nonlinear constraints; Repair algorithms; Feasible region approximation; Optimering; Initial margin; Evolutionära algoritmer; CMA-ES; Support vector machines; Hantering av bivillkor; Icke-linjära bivillkor; Reparationsalgoritmer; Approximation av tillåtet område;

   Abstract : 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

6. 5. Illiquidity and Its Threats - A Study of the U.S. Corporate Bond Market

   University essay from Lunds universitet/Matematisk statistik

   Author : Adam Löfquist; Erik Ottosson; [2021]
   Keywords : Liquidity; price dispersion; Hui-Heubel liquidity ratio; ILLIQ; TRACE; U.S. corporate bonds; Over-the-Counter market; regression analysis; return modelling; stressed market conditions.; Mathematics and Statistics;

   Abstract : In recent times of market turmoil, liquidity risk has become a big talking point. As certain Swedish fixed income funds, which were advertised as safe investment options, closed for a few trading days in March of 2020 due to the extremely high stress on the market, questions about how illiquidity a↵ects risk and return were asked. READ MORE