Essays about: "collateral discounting"

Found 2 essays containing the words collateral discounting.

  1. 1. An Evaluation of Swedish Municipal Borrowing via Nikkei-linked Loans

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Robert Constantin; Denis Gerzic; [2018]
    Keywords : Municipal borrowing; Nikkei-linked loans; Multi-curve framework; Discounting curves; Forward curves; CVA; Monte Carlo simulation; Structured bond; Black and Scholes PDE; Structured swap;

    Abstract : In this master thesis, we compare three different types of funding alternatives from a Swedish municipality's point of view, with the main focus on analysing a Nikkei-linked loan. We do this by analysing the resulting interest rate and the expected exposures, taking collateral into consideration. READ MORE

  3. 2. Collateral choice option valuation

    University essay from KTH/Matematisk statistik

    Author : Sébastian Mollaret; [2015]
    Keywords : Collateral; optimal collateral posting; multi-currency collateral; collateral pricing; collateral discounting; conditional independence.;

    Abstract : 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