Essays about: "default contract"

Showing result 1 - 5 of 17 essays containing the words default contract.

  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. Probability of Default Term Structure Modeling : A Comparison Between Machine Learning and Markov Chains

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

    Author : Hugo Englund; Viktor Mostberg; [2022]
    Keywords : Machine Learning; Deep Neural Networks; XGBoost; Probability of Default; Term Structure Modeling; IFRS 9; Maskininlärning; Djupa neuronnät; XGBoost; Fallisemangsrisk; Terminsstruktursmodellering; IFRS 9;

    Abstract : During the recent years, numerous so-called Buy Now, Pay Later companies have emerged. A type of financial institution offering short term consumer credit contracts. As these institutions have gained popularity, their undertaken credit risk has increased vastly. Simultaneously, the IFRS 9 regulatory requirements must be complied with. READ MORE

  4. 3. Modern Credit Value Adjustment

    University essay from KTH/Matematik (Avd.)

    Author : Wojciech Ratusznik; [2021]
    Keywords : Credit Value Adjustment; Monte Carlo simulations; Artificial neural networks; Financial risk management; Stochastic calculus; Kreditvärdejustering; Monte Carlo simuleringar; Artificiella neurala nätverk; Riskvärdering; Stokastisk analys;

    Abstract : Counterparty risk calculations have gained importance after the latest financial crisis. The bankruptcy of Lehman Brothers showed that even large financial institutiones face a risk of default. Hence, it is important to measure the risk of default for all the contracts written between financial institutions. READ MORE

  5. 4. Greenhouse Gas Footprint Minimization of Credit Default Swap Baskets

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

    Author : Oscar Britse; Johan Jarnmo; [2018]
    Keywords : credit default swap; CDS; CDS basket; greenhouse gas; emission; iTraxx; CDX; portfolio optimization; ECOBAR; Markowitz;

    Abstract : Global bond market capitalization amounts to approximately $100 trillion, compared to $60 trillion in the equity markets. Despite debt financing being a large part of the global financial market, the measurements and greenhouse gas reduction investment strategies to date are not nearly as thorough as for equity financing. READ MORE

  6. 5. Default contracts in the Swedish retail electricity market: is consumer inertia a matter of concern?

    University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Author : Johanna Ohlin; Jacob Östgren; [2018]
    Keywords : electricity market; default contract; inertia; JEL: C25; C38; D18; L11; Z18;

    Abstract : The purpose of this thesis is to examine whether the presence of default contracts distorts the market mechanism in the Swedish deregulated retail electricity market. A default contract is an inactive form of contract which electricity consumers receive if they do not make an active choice of electricity supplier. READ MORE