Essays about: "thesis in swaps"

Showing result 1 - 5 of 57 essays containing the words thesis in swaps.

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. Modeling of Foreign Exchange Swap Distributions : A statistical evaluation of two stochastic models

   University essay from Linköpings universitet/Produktionsekonomi

   Author : Ludvig Ehrenpreis; Eriksson Oscar; [2023]
   Keywords : term structure measurement; optimization; foreign exchange swaps; interest rates; FX; model comparison; FX swap models;

   Abstract : The global foreign exchange (FX) market is one of the world's largest financial markets and a significant part of this market concerns the trading of FX swaps. For banks and other financial institutions, it is of great interest to model these swaps as accurately as possible, as this could improve their risk management. READ MORE

5. 4. Benchmarking a memetic algorithm for global all-atom protein-protein docking with backbone flexibility

   University essay from Lunds universitet/Kemiska institutionen

   Author : Vera Karlin; [2022]
   Keywords : biochemistry; EvoDOCK; algorithm; protein; iRMSD; DockQ; CAPRI; Chemistry;

   Abstract : Determining how proteins interact with each other to form complexes is very important for understanding both disease and cellular functions, but experimentally determining the structures of these complexes is both tedious and slow, which is why a great number of protein-protein docking algorithms have been developed to predict them. To this day, conformational changes in protein backbones have been one of the largest challenges when making docking predictions. READ MORE

6. 5. Predicting Financial Trader Participation in Fixing Risk Mitigation Cycles : A Machine Learning Approach

   University essay from KTH/Matematisk statistik

   Author : Eric Bojs; [2022]
   Keywords : ;

   Abstract : Financial markets have been crucial in driving capital investments across the world. Anessential piece of these markets is the presence of risk takers, or market speculators, who will hold financial portfolios in hopes of profit. READ MORE