Essays about: "liquidity adjustment"
Showing result 1 - 5 of 6 essays containing the words liquidity adjustment.
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1. Modelling Proxy Credit Cruves Using Recurrent Neural Networks
University essay from KTH/Matematisk statistikAbstract : 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
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2. Comparing the Liquidity-Adjusted Expected Shortfall Models Over High and Low Liquid Stocks Portfolios: Empirical Results on Thailand Stock Market
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : The stylized fact that stock markets are not perfectly liquid propels banks to incorporate liquidity risk in the risk metrics so that market risk can be managed properly. Disregarding liquidity risk can lead to an underestimation of overall risk and substantial losses. READ MORE
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3. The Performance of Market Risk Models for Value at Risk and Expected Shortfall Backtesting : In the Light of the Fundamental Review of the Trading Book
University essay from KTH/Matematisk statistikAbstract : The global financial crisis that took off in 2007 gave rise to several adjustments of the risk regulation for banks. An extensive adjustment, that is to be implemented in 2019, is the Fundamental Review of the Trading Book (FRTB). READ MORE
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4. Is cash still king? – A study of the firm characteristics that determine the cash holding levels of Swedish corporations and the impact of the 2008 financial crisis on corporate cash policies
University essay from Lunds universitet/Företagsekonomiska institutionenAbstract : The purpose of the thesis is to identify the key determinants of corporate liquidity in Swedish firms and whether these have changed in the wake of the 2008 financial crisis. For these means, data obtained from companies listed on the Swedish NASDAQ OMX Stockholm stock exchange are used to estimate a number of dynamic panel regression models in E-Views. READ MORE
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5. Valuation of Interest Rate Swaps in the presence of Counterparty Credit Risk
University essay from Göteborgs universitet/Graduate SchoolAbstract : 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