Essays about: "credit default swaps pricing...-"

Showing result 1 - 5 of 10 essays containing the words credit default swaps pricing...-.

1. 1. 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

3. 2. Pricing of Embedded Options: Implementing Stochastic Interest Rates & Stochastic Spread

   University essay from Lunds universitet/Matematisk statistik

   Author : Jan Müller; [2022]
   Keywords : Option pricing; Callable bonds; Affine term structure models; Hull-White one-factor; Hull White two-factor; Trinomial trees; Short rate; Default intensity; Swaption volatilities; Black-76; Credit derivatives; Calibration; Optimisation.; Mathematics and Statistics;

   Abstract : Given the current market climate, in an era of negative interest-rates, the Hull-White model has regained popularity in the eyes of investors. This thesis aims to extend this model to incorporate credit risk, to allow the modelling of credit derivatives such as diff swaps, defaultable corporate bonds and credit default swaps. READ MORE

4. 3. Default Correlations within Credit Valuation

   University essay from Lunds universitet/Matematisk statistik

   Author : Sofie Svensson; [2016]
   Keywords : Mathematics and Statistics;

   Abstract : This paper focuses on pricing of basket Credit Default Swaps. The credit market instruments such as CDSs and CDOs are introduced. The concepts of trading these derivatives in basket CDSs divided into tranches is also of big importance. Dierent pricing models are presented and compared. READ MORE

5. 4. Credit Value Adjustment: The Aspects of Pricing Counterparty Credit Risk on Interest Rate Swaps

   University essay from KTH/Matematisk statistik

   Author : Martin Hellander; [2015]
   Keywords : OTC derivatives; Credit Value Adjustment; Debit Value Adjustment; wrongway risk; interest rate swaps; LIBOR Market Model; Cox-Ingersoll-Ross process.;

   Abstract : 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

6. 5. Valuation of Interest Rate Swaps in the presence of Counterparty Credit Risk

   University essay from Göteborgs universitet/Graduate School

   Author : Robin Axelsson; [2014-11-26]
   Keywords : Interest Rate Swaps; Counterparty Credit Risk;

   Abstract : 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