Essays about: "swap contracts"

Showing result 1 - 5 of 15 essays containing the words swap contracts.

  1. 1. A Journey Through the World of Compression with IRS Contracts

    University essay from Umeå universitet/Institutionen för fysik

    Author : Karl Hjalmarsson; [2023]
    Keywords : Portfolio Compression; Interest Rate Swap; Newtork Simplex; Central Clearing Counterparty;

    Abstract : By participating in the market a party buys and sells different types of contracts resulting in the collection of contracts growing. With a large collection of contracts come the hurdles of an increasing operational cost, a harder-to-manage order book, and an increase in counterparty risk. READ MORE

  3. 2. Neural Networks for Credit Risk and xVA in a Front Office Pricing Environment

    University essay from Lunds universitet/Matematisk statistik

    Author : Isabelle Frodé; Viktor Sambergs; [2022]
    Keywords : xVA; CVA; OTC; Counterparty Credit Risk; Interest Rate Swaps; Hull-White Model; Machine Learning; Artificial Neural Networks; Gated Recurrent Units; Mathematics and Statistics;

    Abstract : We present a data-driven proof of concept model capable of reproducing expected counterparty credit exposures from market and trade data. The model has its greatest advantages in quick single-contract exposure evaluations that could be used in front office xVA solutions. The data was generated using short rates from the Hull-White One-Factor model. READ MORE

  4. 3. Swap Book Hedging using Stochastic Optimisation with Realistic Risk Factors

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Rickard Nordin; Emil Mårtensson; [2021]
    Keywords : Term structure measurement; optimization; hedging; swap portfolio; interest rate swaps; stochastic programming; FRA; IRS; dimension reduction; component analysis; component decomposition; signal separation;

    Abstract : Market makers such as large banks are exposed to market risk in fixed income by acting as a counterparty for customers that enter swap contracts. This master thesis addresses the problem of creating a cost-effective hedge for a realistic swap book of a market maker in a multiple yield curve setting. READ MORE

  5. 4. Empirical study of methods to complete the swaption volatility cube from the caplet volatility surface

    University essay from Uppsala universitet/Tillämpad matematik och statistik

    Author : Niclas Samuelsson; [2021]
    Keywords : fixed income; interest rate derivatives; swaption; cap;

    Abstract : Fixed income markets are vast markets, involving a large number of actors including financial institutions, state actors, asset managers and corporations. An import part of these markets are contracts written on the xIBOR rates. READ MORE

  6. 5. A study of the determinant factors of the Swedish interest rate swap spread

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Christina Hu; [2019]
    Keywords : Interest rate swap contracts; SEK swap spread; slope of the yield curve; credit spread; treasury supply;

    Abstract : This study aims to find the driving determinant factors of the Swedish swap spread by identifying the potential determinants based on previous theoretical and empirical studies. The determinant factors studied in this paper are the slope of the yield curve, volatility, the credit spread, the treasury supply, the business cycle, and the Euro spread. READ MORE