Essays about: "central clearing"

Showing result 1 - 5 of 25 essays containing the words central clearing.

1. 1. A Journey Through the World of Compression with IRS Contracts

   University essay from Umeå universitet/Institutionen för fysik

   Author : Karl Hjalmarsson; [2023]
   Keywords : Portfolio Compression; Interest Rate Swap; Newtork Simplex; Central Clearing Counterparty;

   Abstract : By participating in the market a party buys and sells different types of contracts resulting in the collection of contracts growing. With a large collection of contracts come the hurdles of an increasing operational cost, a harder-to-manage order book, and an increase in counterparty risk. READ MORE

3. 2. Exploring the Feasibility of Replicating SPAN-Model's Required Initial Margin Calculations using Machine Learning : A Master Thesis Project for Intraday Margin Call Investigation in the Commodities Market

   University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

   Author : Clara Branestam; Amanda Sandgren; [2023]
   Keywords : Machine Learning; Market Risk; Initial Margin; SPAN-model; Central Counterparty Clearing; Margin Call;

   Abstract : Machine learning is a rapidly growing field within artificial intelligence that an increasing number of individuals and corporations are beginning to utilize. In recent times, the financial sector has also started to recognize the potential of these techniques and methods. READ MORE

4. 3. Techno-economic fesibility of a hybrid CSP (sCO2) - PV plant for hydrogen production

   University essay from KTH/Skolan för industriell teknik och management (ITM)

   Author : Patricia Perez De La Calle; [2023]
   Keywords : Soec oxide electrolyzer cell SOEC ; Concentrated solar plant CSP ; Super critical cO2 sCO2 ; photovoltaic field PV ; Thermal storage TES ; electrolyzer; MoSES; high temperature electrolysis THE .;

   Abstract : The global need to eliminate CO2 emissions and its consequent reduction in the use of fossil fuels drives the ongoing energy transition that highly involves the research achievements of the scientific community to reach the goals of this purpose. Renewable sources like photovoltaic and wind energy, are central to this endeavor, however, the intermittency of natural resources makes it non-dispatchable and energy storage is fundamental. READ MORE

5. 4. An Investigation and Comparison of Machine Learning Methods for Selecting Stressed Value-at-Risk Scenarios

   University essay from Uppsala universitet/Avdelningen för systemteknik

   Author : Moa Tennberg; [2023]
   Keywords : Value-at-Risk; Total margin; Procyclicality; Machine learning; Binary classification; Supervised learning; Unsupervised learning; Random forest; Multilayer perceptron;

   Abstract : Stressed Value-at-Risk (VaR) is a statistic used to measure an entity's exposure to market risk by evaluating possible extreme portfolio losses. Stressed VaR scenarios can be used as a metric to describe the state of the financial market and can be used to detect and counter procyclicality by allowing central clearing counterparities (CCP) to increase margin requirements. READ MORE

6. 5. Scenario Generation for Stress Testing Using Generative Adversarial Networks : Deep Learning Approach to Generate Extreme but Plausible Scenarios

   University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

   Author : Jonas Gustafsson; Conrad Jonsson; [2023]
   Keywords : Machine Learning; Generative Adversarial Network GAN ; Wasserstein Generative Adversarial Network WGAN ; Scenario Generation; Stress Testing; Central Counterparty Clearing;

   Abstract : Central Clearing Counterparties play a crucial role in financial markets, requiring robust risk management practices to ensure operational stability. A growing emphasis on risk analysis and stress testing from regulators has led to the need for sophisticated tools that can model extreme but plausible market scenarios. READ MORE