Essays about: "what are swaps"

Showing result 1 - 5 of 7 essays containing the words what are swaps.

  1. 1. Risk Measurement and Performance Attribution for IRS Portfolios Using a Generalized Optimization Method for Term Structure Estimation

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Fredrik Gerdin Börjesson; Christoffer Eduards; [2021]
    Keywords : Interest rate measurement; term structures; multiple yield curves; principal component analysis; systematic risk; risk factors; term structure simulation; Latin hypercube sampling with dependence; risk measurement; value-at-risk; expected shortfall; interest rate swap; performance attribution;

    Abstract : With the substantial size of the interest rate markets, the importance of accurate pricing, risk measurement and performance attribution can not be understated. However, the models used on the markets often have underlying issues with capturing the market's fundamental behavior. READ MORE

  3. 2. Hedging of a foreign exchange swapbook using Stochastic programming

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Emma Bohlin; Jonatan Harling; [2021]
    Keywords : term structure measurement; optimization; hedging; foreign exchange swaps; interest rates; FX; stochastic programming;

    Abstract : A large part of the foreign exchange market concerns the trading of FX swaps. While entering a position in a FX swap does not cost any money, banks earn money on FX swaps when their customers cross the bid/ask spread, creating a perceived transaction costs for the swaps. READ MORE

  4. 3. On the Proxy Modelling of Risk-Neutral Default Probabilities

    University essay from KTH/Matematisk statistik

    Author : Edvin Lundström; [2020]
    Keywords : Counterparty Credit Risk; Credit Valuation Adjustment; CVA; Credit modelling; Reduced form model; Proxy model; Hazard rate; Cross-section model; Nomura model; Motpartsrisk; Kreditvärderingsjustering; CVA; Kreditmodellering; Proxymodellering; Nomuramodellen;

    Abstract : Since the default of Lehman Brothers in 2008, it has become increasingly important to measure, manage and price the default risk in financial derivatives. Default risk in financial derivatives is referred to as counterparty credit risk (CCR). The price of CCR is captured in Credit Valuation Adjustment (CVA). READ MORE

  5. 4. Classification of Financial Instruments

    University essay from KTH/Matematisk statistik

    Author : Andreas Lindberg; [2019]
    Keywords : IFRS; Financial instruments; Classification; Fair value; Fair value hierarchy; Autocall; Swap; European option; Asian option; Implied volatility; Correlation; Market activity; Interest rates;

    Abstract : In this thesis a general framework and accompanying guidelines for how to classify financial instruments within the fair value hierarchy (included within IFRS 13) is presented. IFRS 13 introduces a broad and loosely defined regulation of how to classify a financial instrument which leaves room for misinterpretation and uncertainties. READ MORE

  6. 5. Too-Big-to-Fail: A Study on the Swedish Banking System during the Financial Crisis

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Henrik Nilsson; Sten Tärnbro; [2013]
    Keywords : Too-big-to-fail; Credit default swaps; CreditGrades; Financial crisis;

    Abstract : Too-big-to-fail is a highly debated subject that has gained widespread attention during the latest financial crisis of 2007-2009. Many negative externalities are associated with too-big-to-fail such as excessive risk-taking and overleveraging. In our paper, we present an overview of what too-big-to-fail is and its consequences. READ MORE