Essays about: "Valuation of interest rate derivatives"
Showing result 1 - 5 of 6 essays containing the words Valuation of interest rate derivatives.
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1. Valuation of interest rate instruments under backward-looking forward rate framework
University essay from Mälardalens universitet/Akademin för utbildning, kultur och kommunikationAbstract : With the discontinuation of Interbank Offered Rates(IBOR), traders found some al-ternative reference rates to replace IBOR. Backward-looking rates are widely accepted new benchmark interest rates. READ MORE
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2. Collateral choice option valuation
University essay from KTH/Matematisk statistikAbstract : A bank borrowing some money has to give some securities to the lender, which is called collateral. Different kinds of collateral can be posted, like cash in different currencies or a stock portfolio depending on the terms of the contract, which is called a Credit Support Annex (CSA). READ MORE
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3. Credit Value Adjustment: The Aspects of Pricing Counterparty Credit Risk on Interest Rate Swaps
University essay from KTH/Matematisk statistikAbstract : 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
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4. Valuation of Interest Rate Swaps in the presence of Counterparty Credit Risk
University essay from Göteborgs universitet/Graduate SchoolAbstract : Insuring debt through credit default swaps (CDS) and collateralized debt obligations (CDO) has become increasingly more popular. Recent events such as the financial crisis of 2008 have shown that the credit models for these insurances have lacked severely in certain aspects. READ MORE
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5. Credit Valuation Adjustment: In theory and practice
University essay from KTH/Matematisk statistikAbstract : 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