Essays about: "collateral pricing"

Showing result 1 - 5 of 6 essays containing the words collateral pricing.

  1. 1. Reducing Housing Barriers for First-time Buyers : Exploring Alternative Mortgage Products to Increase Access to Homeownership

    University essay from KTH/Fastigheter och byggande

    Author : Elias Carlson; Johannes Sennerö; [2022]
    Keywords : Alternative mortgage products; first-time buyers; homeownership; shared appreciation mortgage; share equity mortgage; Alternativa bolåneprodukter; bostadsägande; förstagångsköpare; shared appreciation mortgage; share equity mortgage;

    Abstract : Access to homeownership is a major social and economic issue in many countries. Failure to maintain affordability has been discussed as the ultimate agglomeration diseconomy. This report sheds light on the thresholds for first-time buyers in Sweden and possible solutions through financial innovation. READ MORE

  3. 2. An Introduction to Modern Pricing of Interest Rate Derivatives

    University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Author : Hossein Nohrouzian; [2015]
    Keywords : Interest Rates; Negative Interest Rates; Market Model; Martingale; Security Market Model; Term Structure Model; Risk-Neutral Measure; Forward-Neutral Measure; LIBOR; HJM; Collateral; Swap; Tenor; Interest Rate Derivatives; CSA Agreement; Bachelier.;

    Abstract : This thesis studies interest rates (even negative), interest rate derivatives and term structure of interest rates. We review the different types of interest rates and go through the evaluation of a derivative using risk-neutral and forward-neutral methods. READ MORE

  4. 3. 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

  5. 4. Closing Time Effects on Derivative Pricing and Risk Measurement

    University essay from Lunds universitet/Matematisk statistik

    Author : Andreas Melin; [2014]
    Keywords : Mathematics and Statistics;

    Abstract : Risk measures such as Value at Risk are highly dependent on a sample of daily returns. The daily return can be measured in different intervals and this thesis examines how the choice of the daily return interval affects derivative pricing, risk measures, fund performance and products with collateral agreements. READ MORE

  6. 5. Implications of Multiple Curve Construction in the Swedish Swap Market

    University essay from KTH/Entreprenörskap och Innovation

    Author : Erik Lidholm; Benjamin Nudel; [2014]
    Keywords : collateral; cross currency; discount curve; forward curve; forward starting; off-market; swap; Stibor; collateral; cross currency; diskonteringskurva; forwardkurva; forward starting; off-market; swap; Stibor;

    Abstract : The global financial crisis of 2007 caused abrupt changes in the financial markets. Interest rates that were known to follow each other diverged. Furthermore, both regulation and an increased awareness of counterparty credit risks have fuelled a growth of collateralised contracts. READ MORE