Essays about: "credit default swaps crisis"

Showing result 1 - 5 of 14 essays containing the words credit default swaps crisis.

1. 1. ON THE CVA OF CREDIT DEFAULT SWAPS: THE IMPLICATION OF DEPENDENCE USING A COPULA APPROACH

   University essay from Göteborgs universitet/Graduate School

   Author : Sebastian Alm; Joel Fredriksson Pregmark; [2023-06-29]
   Keywords : Credit Value Adjustment; Counterparty Credit Risk; Wrong Way Risk; Credit Default Swap; Semi-Analytical Model; Interest Rate Swap;

   Abstract : This study examines the nature and background to the Credit Value Adjustment(CVA), a concept that has gained focus due the it’s heightened importance for financial institutions subsequent to the 2008 financial crisis. CVA can be defined as the the price that should be added to the bilateral defaultable contract to adjust for the existing Counterparty Credit Risk (CCR) so that the contract will have the same value as a corresponding risk-free contract. READ MORE

3. 2. Modelling Proxy Credit Cruves Using Recurrent Neural Networks

   University essay from KTH/Matematisk statistik

   Author : Lucas Fageräng; Hugo Thoursie; [2023]
   Keywords : Deep Neural Networks; Credit Risk; Financial Modelling; LSTM; Credit Default Swaps; Credit Valuation Adjustment; Djupa Neurala Nätverk; Kreditrisk; Finansiell Modellering; LSTM; Kreditswappar; Kreditvärderingsjustering;

   Abstract : Since the global financial crisis of 2008, regulatory bodies worldwide have implementedincreasingly stringent requirements for measuring and pricing default risk in financialderivatives. Counterparty Credit Risk (CCR) serves as the measure for default risk infinancial derivatives, and Credit Valuation Adjustment (CVA) is the pricing method used toincorporate this default risk into derivatives prices. READ MORE

4. 3. Counterparty Credit Risk Efficieny of Central Clearing

   University essay from Göteborgs universitet/Graduate School

   Author : Felix Salat; [2017-07-26]
   Keywords : Risk Management; Counterparty Credit Risk; OTC Derivatives; Central Clearing; Multilateral Netting; Bilateral Netting;

   Abstract : In this thesis, we aim to show effects of centrally clearing OTC derivatives on counterparty exposures. Central clearing is the process of replacing bilateral exposures from transactions with a network of multilateral exposures. In all transactions, a central counterparty (CCP) is the intermediary, acting as a buyer to each seller and vice versa. READ MORE

5. 4. Credit Risk Modeling and Implementation

   University essay from Umeå universitet/Institutionen för fysik

   Author : Johan Gunnars; [2017]
   Keywords : CVA; CDS; hazard rate;

   Abstract : The financial crisis and the bankruptcy of Lehman Brothers in 2008 lead to harder regulations for the banking industry which included larger capital reserves for the banks. One of the parts that contributed to this increased capital reserve was the the credit valuation adjustment capital charge which can be explained as the market value of the counterparty default risk. READ MORE

6. 5. CVA for IR-Swaps under Wrong Way Risk. A numerical evaluation using a semi-analytical model

   University essay from Göteborgs universitet/Graduate School

   Author : Berglind Halldórsdóttir; Weili Zhang; [2016-09-21]
   Keywords : Credit Value Adjustment; Wrong Way Risk; Interest Rate Swap; Credit Default Swap; Homogeneous CVA Portfolio; Heterogeneous CVA Portfolio; Semi-Analytical Model;

   Abstract : This thesis examines the background and nature of credit value adjustment (CVA), a concept that has heightened in its importance in the financial market after the 2008 financial crisis. Credit value adjustment is defined as a price deducted from the risk-free value of a bilateral derivative to adjust for the counterparty credit risk (CCR). READ MORE