Dissertations / Theses on the topic 'Counterparty risks'
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Leung, Seng Yuen. "Analysis of counterparty risks and derivative pricing under stochastic volatility /." View abstract or full-text, 2004. http://library.ust.hk/cgi/db/thesis.pl?MATH%202004%20LEUNG.
Full textIncludes bibliographical references (leaves 120-131). Also available in electronic version. Access restricted to campus users.
Ruan, Zheng. "CDS pricing with counterparty risk." Thesis, Imperial College London, 2010. http://hdl.handle.net/10044/1/6083.
Full textZhang, Yang (Stephen). "Counterparty credit risk, funding risk and central clearing." Thesis, Imperial College London, 2015. http://hdl.handle.net/10044/1/61334.
Full textStarlander, Isak. "Counterparty Credit Risk on the Blockchain." Thesis, KTH, Matematisk statistik, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-215493.
Full textMotpartsrisk är närvarande i finansiella obligationer. Den här uppsatsen un- dersöker den lovande teknologin blockkedjan och hur den kan användas för att reducera motpartsrisk. Studien har för avsikt att täcka det essentiel- la i den matematiska modellen för förväntad förlust, samt en introduktion om blockkedjeteknologi. Efter att ha modellerat ett enkelt smart kontrakt, där historiska finansiella data använts, var det tydligt att det kan finnas en möjlighet att reducera motpartsrisk med hjälp av blockkedjan. Från mark- nadsundersökningen gjord i studien var det uppenbart att den nuvarande finansiella marknaden är i stort behov av mer utbildning om blockkedjan.
Li, Wang. "Default contagion modelling and counterparty credit risk." Thesis, University of Manchester, 2017. https://www.research.manchester.ac.uk/portal/en/theses/default-contagion-modelling-and-counterparty-credit-risk(76eee42a-d83d-4af9-956e-050615298b65).html.
Full textWang, Sijing. "Counterparty risk nodelling of fixed income derivatives." Thesis, University of Reading, 2017. http://centaur.reading.ac.uk/78071/.
Full textHegre, Håvard. "Interest rate modeling with applications to counterparty risk." Thesis, Norwegian University of Science and Technology, Department of Mathematical Sciences, 2006. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-9470.
Full textThis thesis studies the estimation of credit exposure arising from a portfolio of interest rate derivatives. The estimation is performed using a Monte Carlo simulation. The results are compared to the exposure obtained under the current exposure method provided by the Bank for International Settlements (BIS). We show that the simulation method provides a much richer set of information for credit risk managers. Also, depending on the current exposure and the nature of the transactions, the BIS method can fail to account for potential exposure. All test portfolios benefit significantly from a netting agreement, but the BIS approach tends to overestimate the risk reduction due to netting. In addition we examine the impact of antithetic variates and different time-discretizations. We find that a discretization based on derivatives' start and maturity dates may reduce simulation time significantly without loosing generality in exposure profiles. Antithetic variates have a small effect.
Nguyen, Tuyet Mai. "Malliavin calculus for Markov chains and counterparty risk." Thesis, Evry-Val d'Essonne, 2015. http://www.theses.fr/2015EVRY0022/document.
Full textThis thesis deals with two areas of stochastic analysis and mathematical finance: Malliavin calculus for Markov chains (Part I) and counterparty risk (Part II). Part I is devoted to the study of Malliavin calculus for continuous-time Markov chains, in two respects: proving the existence of a density for the solution of a stochastic differential equation and computing sensitivities of financial derivatives. Part II addresses topical issues in interest rates and credit, namely XVA (pricing adjustments) and multicurve modeling
Lundström, Love, and Oscar Öhman. "Backtesting of simulated method for Counterparty Credit Risk." Thesis, Umeå universitet, Institutionen för matematik och matematisk statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-173284.
Full textWu, Dong Li. "Density models and applications to counterparty credit risk." Thesis, Evry-Val d'Essonne, 2013. http://www.theses.fr/2013EVRY0035/document.
Full textThis thesis is about density models of default times and applications to credit and counterparty risk. The rest part is a theoretical contribution to the study of projections on different filtrations of the Radon-Nikodym density of a measure change. The main result is a characterization of the measure changes preserving immersion in a density setup, obtained by application of our projection formulas. The second part is about an informational dynamization of the Gaussian copula model of portfolio credit risk, resulting in a density model of default times suitable to del with dynamic issues such as hedging of CDO through CDS or counterparty risk on credit derivatives. Here the main contributions are the introduction of the dynamic perspective, which allows one to give a theoretical justification to the Gaussian copula bump sensitivities used by practioners, and the application to CVA computations on CDS
Øvergaard, Hans Michael. "Simulation of counterparty risk in the Norwegian financial market." Thesis, Norwegian University of Science and Technology, Department of Mathematical Sciences, 2006. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-9449.
Full textThis work will study different methods to estimate counterparty credit risk, where the methods represent both analytical approximation and simulation based method. The somewhat more analytical approximation that will be used is the current exposure method from the Bank for International Settlements and is based on simple add-on factor to the current market value. In the simulation part, Monte Carlo methods will be used. The paper will show that Monte Carlo methods enable estimation of the full exposure distribution as a function of time. From that distribution two measures of exposure will be used. The first use the peak at the 95% percentile and the second uses the concept of effective expected exposure. Those three alternative measures will be tested on six different portfolios. The portfolios are based on real data and represent both private persons, small companies, life insurance, investment bank and some of more academic interest. The estimate of exposure in those portfolios will be estimated with and without the establishment of netting agreements in order to see how that affects the exposure. The numerical results indicate that netting results in reduced exposure. In the comparisons between the different exposure measures the results show that the simulation based method in general estimates a lower exposure, but it depends intently on the construction of the portfolio. Based on those observations the main conclusion is that a simulation based approach is preferable since it enables better risk control within the firm as a consequence of enabling anatomizes of the evolution of exposure through time. Keywords: Counterparty Credit Risk, Libor Market Model and Monte Carlo simulation
Chan, Ka Leong. "The firm value pricing models with counterparty default risk." Thesis, University of Macau, 2006. http://umaclib3.umac.mo/record=b1636799.
Full textMendoza, Noriega Maria Teresa. "Alternatives to protect the OTC market againist counterparty risk." Thesis, Universidad de las Américas Puebla, 2012. http://catarina.udlap.mx/u_dl_a/tales/documentos/lni/mendoza_n_mt/.
Full textJonsson, Sara, and Beatrice Rönnlund. "The New Standardized Approach for Measuring Counterparty Credit Risk." Thesis, KTH, Matematisk statistik, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-145757.
Full textJohansson, Sam. "Efficient Monte Carlo Simulation for Counterparty Credit Risk Modeling." Thesis, KTH, Matematisk statistik, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-252566.
Full textI denna rapport undersöks Monte Carlo-simuleringar för motpartskreditrisk. En jump-diffusion-modell, Bates modell, används för att beskriva prisprocessen hos en tillgång, och sannolikheten att motparten drabbas av insolvens beskrivs av en stokastisk intensitetsmodell med konstant intensitet. Tillsammans med Monte Carlo-simuleringar används variansreduktionstekinken importance sampling i ett försök att effektivisera simuleringarna. Importance sampling används för simulering av både tillgångens pris och, för estimering av CVA (Credit Valuation Adjustment), tidpunkten för insolvens. CVA simuleras för både europeiska optioner och Bermuda-optioner. Det visas att en signifikant variansreduktion kan uppnås genom att använda importance sampling för simuleringen av tillgångens pris. Det visas även att en signifikant variansreduktion för CVA-simulering kan uppnås för motparter med små sannolikheter att drabbas av insolvens genom att använda importance sampling för simulering av tidpunkter för insolvens. Detta gäller både europeiska optioner och Bermuda-optioner. Vidare, används regressionsmetoden least squares Monte Carlo för att estimera priset av en Bermuda-option, vilket resulterar i CVA-estimat som ligger inom ett intervall av rimliga värden. Slutligen föreslås några ämnen för ytterligare forskning.
Ibelli, Rodrigo Trintino. "Wrong-way risk in stock swaps: measuring counterparty credit risk and CVA." reponame:Repositório Institucional do FGV, 2015. http://hdl.handle.net/10438/13993.
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A stock swap transaction is an alternative way for a company who want to enter into a long position on its own stocks or who intend to set up a repurchase program without having to dispose of cash or contract a loan, or even hedging against increases on its stock prices. In this swap transaction the company receives the return on its own stock, whilst paying a fixed or floating interest rate. However, this kind of swap presents wrong-way risk, that is, a positive dependence between the underlying asset and the counterparty’s default probability, which must be considered by dealers when pricing this kind of swap contracts. In this work we propose a model for incorporating dependence between default probabilities and the counterparty’s exposure in the calculation of the CVA for these kind of swaps. We use a Cox process to model default times, given that the stochastic default intensity follows a CIR model, and assuming that the factor driving the underlying stock price and the factor driving the default intensity are jointly given by a bivariate standard Gaussian distribution. We analyze the impact on CVA of incorporating wrong-way risk in this kind of swap transaction with different counterparties, and for different maturities and dependence levels.
Uma forma interessante para uma companhia que pretende assumir uma posição comprada em suas próprias ações ou lançar futuramente um programa de recompra de ações, mas sem precisar dispor de caixa ou ter que contratar um empréstimo, ou então se protegendo de uma eventual alta no preço das ações, é através da contratação de um swap de ações. Neste swap, a companhia fica ativa na variação de sua própria ação enquanto paga uma taxa de juros pré ou pós-fixada. Contudo, este tipo de swap apresenta risco wrong-way, ou seja, existe uma dependência positiva entre a ação subjacente do swap e a probabilidade de default da companhia, o que precisa ser considerado por um banco ao precificar este tipo de swap. Neste trabalho propomos um modelo para incorporar a dependência entre probabilidades de default e a exposição à contraparte no cálculo do CVA para este tipo de swap. Utilizamos um processo de Cox para modelar o instante de ocorrência de default, dado que a intensidade estocástica de default segue um modelo do tipo CIR, e assumindo que o fator aleatório presente na ação subjacente e que o fator aleatório presente na intensidade de default são dados conjuntamente por uma distribuição normal padrão bivariada. Analisamos o impacto no CVA da incorporação do riscowrong-way para este tipo de swap com diferentes contrapartes, e para diferentes prazos de vencimento e níveis de correlação.
Fonseca, Vladimir João de Oliveira Lopes Dias da. "Counterparty and Liquidity Risk : an analysis of the negative basis." Master's thesis, Instituto Superior de Economia e Gestão, 2011. http://hdl.handle.net/10400.5/4630.
Full textIn this study we analyse the equivalence between credit default swap (CDS) spreads and corporate bond yield spreads from March 2007 to March 2011 for investment graded corporate entities in the eurozone. We find evidence of cointegration between the two markets and that CDS prices tends to lead corporate yield spreads. We find support for significant effects of counterparty and funding risks in the basis, measured as the difference between CDS and corporate yield spreads, with negative impact, and that liquidity also matters in this context.
No contexto da relação teórica de equilíbrio entre os preços dos CDS e as yield spreads das obrigações das empresas face a taxas de juro sem risco, este trabalho conclui que existe cointegração entre estas duas variáveis para entidades de referência na zona euro no período que decorre entre Março de 2007 e Março de 2011. A análise efectuada revelou que o risco de contraparte e o risco de liquidez em ambos os mercados tiveram um impacto significativo na base, entre os CDS e os referidos spreads, e que os preços dos CDS tenderam a liderar as yield spreads das obrigações no período em análise.
Nowicki, Pierre. "Counterparty credit risk under credit risk contagion using time-homogeneous phase-type distribution." Thesis, Imperial College London, 2015. http://hdl.handle.net/10044/1/33778.
Full textZargari, Behnaz. "Le risque de crédit et les produits dérivés de crédit : modélisation mathématique et numérique." Thesis, Evry-Val d'Essonne, 2011. http://www.theses.fr/2011EVRY0004.
Full textThis thesis deals with credit derivatives modeling and consists of two parts: The first part concerns the density model, recently proposed by El Karoui et al., where the standing assumption is that the conditional law of default time given the reference filtration is equivalent to its (non-conditional) law. Under this assumption, we provide alternative (and simpler) proofs for some existing results in the theory of initial and progressive enlargement of filtrations. Also, we present some new results such as the predictable representation theorem for progressively enlarged filtration in the multidimensional case. We then propose several methods to construct density models, in both one-dimensional and multidimensional cases. Finally, we show that the density model is an efficient approach for dynamic hedging of multi-name credit derivatives. In the second part, a Markov model is constructed for studying the counterparty risk in a CDS contract. The wrong-way risk in this model is accounted for by the possibility of the simultaneous default of the reference name and of the counterparty. We start by considering a Markov chain model of two reference credits, the firm underlying the CDS and the protection seller in the CDS. In this set-up, we have semi-explicit formulae for most quantities of interest with regard to CDS counterparty risk like price, CVA, EPE or hedging strategies. We then generalize this framework to account for the spread risk by introducing stochastic factors, so that, we deal with a Markov copula model with stochastic intensities. We also address the issue of dynamically hedging the CVA with a CDS written on the counterparty. For model implementation, we consider three different affine specification of the intensities, which in view of the dynamic copula property of the model, make calibration very efficient. Numerical results are presented to show the adequacy of the behavior of CVA in the model with stylized features
Pörn, Sebastian, and Arvid Rönnblom. "Assesing counterparty risk classification using transition matrices : Comparing models' predictive ability." Thesis, Umeå universitet, Institutionen för matematik och matematisk statistik, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-136667.
Full textEn viktig del vid hanteringen av kreditrisk är att bedöma sannolikheten för fallissemang för olika motparter. Ökningar och minskningar i dessa sanno- likheter är centrala komponenter i bedömningen, och det är här migrations- matriser blir användbara. Dessa matriser är vanligt förekommande verktyg vid bedömning av kreditrisk mot olika motparter och innehåller sannolikheten för fallissemang samt sannolikheten att migrera mellan olika fördefinierade be- tygsklassificeringar. Dessa betygsklassificeringar används för att återspegla den risk som tas mot olika motparter. Det är därför viktigt för finansinstitut att utveckla träffsäkra migrationsmatris modeller för att hantera förväntade förändringar i kreditriskexponering. Detta beror på att kreditvärdigheten hos motparter samt sannolikheten för fallissemang indirekt påverkar expected loss och kapitalkrav. Detta examensarbete kommer att analysera hur två specifika modeller presterar när de används för att generera migrationsmatriser. Dessa mod- eller kommer att testas för att undersöka hur de presterar när de används för att förutsäga övergångar inom betygsklassificering, inklusive sannolikheten för fallissemang.
Kechagioglou, Ioannis. "Stochastic models of default intensity for derivatives and counterparty risk valuation." Thesis, Imperial College London, 2010. http://hdl.handle.net/10044/1/11790.
Full textKornmann, Lauren. "Evaluating financial risk with investment guidelines." Thesis, Kansas State University, 2014. http://hdl.handle.net/2097/34149.
Full textDepartment of Agricultural Economics
Allen M. Featherstone
Cash management practices for corporate treasurers are in a state of instability in recent years. Events during the credit crisis of 2008 have had an impact on how organization’s cash positions are managed. This has led corporate treasurers to juggle unprecedented amounts of cash across multiple bank counterparties and invest these funds based on previous investment policies with potentially inflexible limits. Many regulations have been passed to strengthen domestic and global financial systems, yet the risk of default is not completely removed and there are many uncertain ties that corporates face. To succeed in the uncertain financial environment, counterparty risk tools must be put in place to improve the visibility of potential operational risk, along with a higher frequency of reviewing and updating investment policies. It is crucial for corporates to look beyond the traditional market perceptions and bank credit ratings to evaluate counterparty risk. Although these continue to be a valuable metric, they should be incorporated with other forward looking market risk metrics such as credit default swaps, capital and asset resiliency metrics, and growth and profitability metrics to their current investment guidelines review. By integrating risk metrics to help formulate an investment policy, corporates can adapt to the changing financial environment. This thesis examined methodologies to develop a more accurate and immediate viewpoint of counterparty creditworthiness. This was done through the creation of models using market information to set values to view the strength of counterparties and the likelihood of default. Models were created for both financial institutions and countries where cash or investments are placed. Depending on the models, this restricts the permissible investment options that an institution or country has. This approach allows the company to invest more with higher rated counterparties, and sets a maximum to those who are deemed high risk of default. The findings of this thesis identified that it is crucial to classify the right metrics and look beyond traditional market perceptions and bank credit ratings. By implementing a balanced process that regularly monitors current market indicators of counterparty risk, an organization will be in a stronger position to define and determine the potential risk. This creates a balanced view of both backward looking and forward looking metrics such as long term debt ratings and credit default swaps. These metrics were useful indicators of a counterparty’s strength. Because of the wide range of information available and cost, it went beyond the resources of the company to perform detailed ongoing analysis. It was also identified that a risk-adjusted approach to setting counterparty limits is crucial for managing counterparty exposure and the risk of default. To optimize liquidity, it is in the company’s best interest to place higher balances in institutions with the lowest risk of default. Grouping banks into tiers and assigning a percentage of total balance to each tier allows for financial institutions to have a specific limit capacity. Incorporating these tools on a frequent basis allows for real-time analysis of counterparty exposure and risk.
Hellander, Martin. "Credit Value Adjustment: The Aspects of Pricing Counterparty Credit Risk on Interest Rate Swaps." Thesis, KTH, Matematisk statistik, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-173225.
Full textI den här uppsatsen har prissättning av motpartsrisk för en OTC ränteswap undersökts. Motpartsrisk kan definieras som risken att en motpart i ett finansiellt kontrakt inte har möjlighet eller viljan att fullfölja sin del av kontraktet. Motpartsrisken måste tas med I värderingen av ett OTC-derivat. Marknadspriset på motpartrisken är känt som Credit Value Adjustment (CVA). I ett bilateralt kontrakt, t.ex. som en swap, måste även den egna kreditvärdighet tas med i värderingen, vilket leder till en justering som är känd som Debit Value Adjustment (DVA). Sedan 2013 skall, enligt den internationella redovisningsstandarden (IFRS), dessa prisjusteringar göras vid redovisningen av värdet för ett OTC derivat. En kort bakgrund samt härledningen av CVA och DVA ar presenterade tillsammans med relaterade ämnen. Fyra olika metoder för att beräkna CVA har jämförts, två mer sofistikerade metoder och två approximativa metoder. I den mest avancerade metoden används en räntemodell i form av LIBOR Market Model samt en kreditmodell i form av en Cox-Ingersoll-Ross modell. I den här metoden undersöks även påverkan av CVA då det existerar beroenden mellan marknads
Schwake, Daniel [Verfasser], and Antje [Akademischer Betreuer] Mahayni. "Market and Counterparty Credit Risk : Selected Computational and Managerial Aspects / Daniel Schwake. Betreuer: Antje Mahayni." Duisburg, 2016. http://d-nb.info/1109745540/34.
Full textSturn, Raphael Christian Benedikt [Verfasser], and Rainer [Akademischer Betreuer] Schöbel. "The Valuation of Option Contracts subject to Counterparty Risk / Raphael Christian Benedikt Sturn ; Betreuer: Rainer Schöbel." Tübingen : Universitätsbibliothek Tübingen, 2019. http://d-nb.info/120227157X/34.
Full textKratochwil, Michael [Verfasser], and Daniel [Akademischer Betreuer] Rösch. "Measuring Counterparty Risk - Development of innovative Methods in Light of Regulatory Reforms / Michael Kratochwil ; Betreuer: Daniel Rösch." Regensburg : Universitätsbibliothek Regensburg, 2020. http://d-nb.info/1220908630/34.
Full textKallur, Oskar. "On the use of Value-at-Risk based models for the Fixed Income market as a risk measure for Central Counterparty clearing." Thesis, KTH, Matematisk statistik, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-187464.
Full textI denna uppsats undersöks användningen av VaR baserade modeller för att sätta marginkrav för Fixed Income portföljer. VaR baserade modeller har blivit en standardmetod för Central Counterparties för att räkna ut marginkrav för olika typer av portföljer. Det finns många olika tillvägagångssätt för att räkna ut VaR i praktiken, speciellt för Fixed Income portföljer. Modellerna som presenteras i den här uppsatsen är baserade på Filterad Historisk Simulering (FHS). Dessutom presenteras en modell som kombinerar FHS med en Student’s t copula för att modellera korrelationen mellan olika instrument. Alla modeller backtestas på historisk data från 1998 till 2016. Modellerna ger rimliga VaR skattningar i backtesterna. Däremot finns det andra marknadsrelaterade egenskaper som en modell måste uppfylla för att kunna användas för att sätta margin. Dessa egenskaper undersöks och diskuteras.
Šedivý, Jan. "Vliv rizika protistrany na oceňování derivátů a jeho dopady na chování bank." Doctoral thesis, Vysoká škola ekonomická v Praze, 2016. http://www.nusl.cz/ntk/nusl-205440.
Full textZhou, Tingwen. "Arbitrage-Free Pricing of XVA for American Options in Discrete Time." Digital WPI, 2017. https://digitalcommons.wpi.edu/etd-theses/348.
Full textToto, Andrea. "Three essays on liquidity and contagion." Doctoral thesis, Universitat Jaume I, 2016. http://hdl.handle.net/10803/386238.
Full textLa presente tesis doctoral se compone de tres artículos. En el primero artículo se revisan los modelos de riesgo de crédito y los modelos de riesgo de contraparte y contagio y su aplicación en la gestión del riesgo de crédito, y se comparan los dos tipos principales de modelos en la literatura que tratan de describir los procesos predeterminados para las obligaciones de deuda y otros instrumentos financieros que son "defaultable" (que son susceptibles de incumplimiento) ; estos modelos normalmente se conocen como modelos estructurales y de forma (o intensidad) reducida. Además, se discuten los desafíos y posibles progresos a ser alcanzados al reducir la distancia entre los modelos estructurales y de forma reducida en modelar el riesgo de contraparte y riesgo de crédito, sobre todo dentro de una perspectiva basada en la información, al estilo de Jarrow y Protter (2004). En el segundo artículo se analizan los efectos de crédito comercial en las decisiones de inversión de una empresa restringida financieramente en un sector manufacturero, con particular referencia a un contexto de turbulencias financieras y racionamiento del crédito. Con este fin, hemos presentado un modelo multifactorial de una empresa que maximiza el beneficio sujeto a las restricciones de crédito bancarias y con tres fuentes de financiación : la auto-financiación , crédito bancario y crédito comercial. El modelo es capaz de captar el efecto del seguro de crédito comercial, es decir, la cobertura de seguro contra el riesgo de liquidez implícitos en los contratos de crédito comercial , gracias a la cual una empresa financieramente restringida que sufre de una escasez de liquidez puede mantener un nivel de inversión de inventario esperado (y, como en consecuencia , un futuro nivel de producción esperado) lo más cerca posible al nivel óptimo deseado. El tercero artículo es un artículo que estudia los efectos que dos características de la topología de una red financiera, es decir sus grados de conectividad y de centralización, tienen en la respuesta de la red a los choques externos que pueden generar fenómenos de "default contagion".
Neves, Ricardo Filipe Godinho Miranda das. "Clearing Credit Default Swaps : an new look into the basis." Master's thesis, Instituto Superior de Economia e Gestão, 2014. http://hdl.handle.net/10400.5/7864.
Full textEste estudo pretende analisar se períodos de turbulência nos mercados financeiros causaram uma quebra de estrutura na relação entre os spreads dos CDS e das Obrigações (Base). Obtivémos evidência que um largo número de quebras de estrutura foi detectado para as empresas incluídas na amostra durante o período da crise da dívida soberana Europeia. Para além disso, o efeito do risco de contra parte na base revelou ter também um maior impacto nas empresas do sector financeiro no período após a quebra de estrutura detectada.
This study aims to analyse whether periods of financial turmoil caused the relation between CDS and corporate bond spreads (CDS-Bond basis) to structurally break. We obtained evidence that a higher number of breaks were detected during the European sovereign debt crisis for the firms included in the sample. Besides, firm specific counterparty risk effect on the basis revealed also to have stronger impact on financial firms in the after-break period.
Gomes, Rui Miguel Campos. "O papel dos CDS na (in)estabilidade do mercado financeiro." Master's thesis, Instituto Superior de Economia e Gestão, 2013. http://hdl.handle.net/10400.5/11118.
Full textO mercado de credit default swaps (CDS) tem crescido exponencialmente nos últimos tempos até à crise de 2008-2010, tendo encontrado aí um entrave ao seu crescimento. Embora este instrumento seja um dos derivados mais negociados, é transacionado em mercado over-the-counter, o que reflete uma falta de controlo e transparência. A análise efetuada neste estudo é sobre a implementação de mecanismos de mitigação de risco, controlo de contágio e risco de contraparte. Esta análise é efetuada através da análise da base dos CDS tendo em conta a utilização do yield spread das obrigações analisadas. O período em análise decorre entre Março de 2007 e Junho de 2013, período que contempla a crise financeira e a crise de dívida soberana.
The market for credit default swaps (CDS) has grown exponentially in recent times to the crisis of 2008-2010, and found there an obstacle to their growth. Although this instrument is one of the most traded derivative is traded in the over-the-counter, which reflects a lack of control and transparency. The analysis performed in this study is on the implementation of risk mitigation mechanisms, control of contagion and counterparty risk. This analysis is carried out through analysis of the CDS basis taking into account the use of yield spread of bonds analyzed. The review period is between March 2007 and June 2013, a period that includes the financial crisis and the sovereign debt crisis.
Lundström, Edvin. "On the Proxy Modelling of Risk-Neutral Default Probabilities." Thesis, KTH, Matematisk statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-273624.
Full textSedan Lehman Brothers konkurs 2008 har det blivit allt viktigare att mäta, hantera och prissätta kreditrisken i finansiella derivat. Kreditrisk i finansiella derivat benämns ofta motpartsrisk (CCR). Priset på motpartsrisk fångas i kreditvärderingsjustering (CVA). Denna justering bör i princip alltid ingå i värderingen av ett derivat som handlas över disk (eng. over-the-counter, OTC). För att beräkna CVA behöver man veta sannolikheten för fallissemang (konkurs) hos motparten. Eftersom CVA är ett pris, behöver man den riskneutrala sannolikheten för fallissemang. Det typiska tillvägagångsättet för att erhålla riskneutrala sannolikheter är att bygga kreditkurvor kalibrerade med hjälp av kreditswappar (CDS:er). För en majoritet av en banks motparter finns emellertid ingen likvid handel i CDS:er. Detta utgör en stor utmaning. Hur ska man modellera riskneutrala fallissemangssannolikheter vid avsaknad av observerbara CDS-spreadar? Ett antal metoder för att konstruera proxykreditkurvor har föreslagits tidigare. Ett särskilt populärt val är den så kallade Nomura- (eller cross-section) modellen. När vi studerar denna modell hittar vi ett par svagheter, som i vissa fall leder till degenererade proxykreditkurvor. I den här uppsatsen föreslår vi en förändrad modell, där den modellerade kvantiteten byts från CDS-spreaden till riskfrekvensen (eng. hazard rate). Därmed säkerställs att de erhållna proxykurvorna är giltiga, per konstruktion. Vi finner att Nomura-modellen i praktiken i många fall ger degenererade proxykreditkurvor. Vi finner inga sådana problem för den förändrade modellen. I andra fall ser vi att skillnaderna mellan modellerna är små. Slutsatsen är att den förändrade modellen är ett bättre val eftersom den är teoretiskt sund och robust.
Sayah, Mabelle. "Understanding some new Basel III implementation issues for Lebanese Commercial Banks." Thesis, Lyon, 2017. http://www.theses.fr/2017LYSE1150/document.
Full textThis thesis aims at providing Bank Audi with an updated tool to understand and investigate in given risk types encountered in their portfolios and the way Basel suggests computing their capital charges. International regulator is constantly changing and modifying previously used approaches to enhance the reflection of the market and banking sector risks. The recent financial crisis played a major role in these reforms, in addition the situation of Bank Audi and the markets it is operating in, represent certain specifications that should be accounted for. The work handles interest rate risk in the trading book, Counterparty Credit Risk faced with derivatives along a closer look on the Credit Valuation Adjustment topic and the incorporation of Wrong Way Risk. The first part discusses the new Fundamental Review of the Trading Book: focusing on the general interest rate risk factor, the paper compared Basel’s Sensitivity Based Approach (SBA) capital charge to more traditional approaches of VaR using several models such as Generalized Auto Regressive Conditional Heteroscedasticity (GARCH), Principal Components Analysis (PCA), Independent Components Analysis (ICA) and Dynamic Nelson Siegel. Application on portfolios with zero coupon bonds of different sovereigns revealed the divergence in results between stable markets (such as France and Germany), less stable (such as the USA) and emergent markets (such as Turkey). The second part is dedicated to the Counterparty Credit Risk. A new capital charge methodology was proposed by Basel and set as a standard rule in 2014: the Standardized Approach for Counterparty Credit Risk (SA-CCR). Applying this approach on different derivatives portfolios, we compared it to internal models. The internal methodologies incorporated historical estimations and future projections based on Vasicek and GARCH models. Different hedging cases were investigated on EUR and USD portfolios. The impact of each hedging technique and the difference between IMM and the standardized methods were highlighted in this work: without hedging, the internal approach amends 80% of the standardized capital whereas, in general, the hedging is encouraged more under the standardized approach relatively to its capital reduction under the internal model. The third part remains a part of the Counterparty Credit Risk however, the main focus in this work is the Credit Valuation Adjustment. This topic was neglected in terms of capital charge earlier but due to its important impact is now incorporated as a capital charge amended when no central clearing is put in place when dealing with derivatives. We focus on the regulatory approaches of capital computation, comparing both accepted approaches based on portfolios of interest rate swaps held with investment grade sovereigns. An incorporation of the Wrong Way Risk is another addition in this work: using Error Correction Models we were able to reflect the impact of the correlation between the exposure and the credit quality of the investment grade sovereign we are dealing with. Based on such results, a suggestion of a re-calibrated standardized approach is in place to encourage the use of the CDS as an indicator of the credit quality of the counterparty and not its grade (investment or not) as followed by the new Basel regulations
Murgoci, Agatha. "Essays in mathematical finance." Doctoral thesis, Handelshögskolan i Stockholm, Finansiell Ekonomi (FI), 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-427.
Full textAhiabor, Frederick S. "Determinants of project finance loan terms." Thesis, Loughborough University, 2018. https://dspace.lboro.ac.uk/2134/36313.
Full textVogliotti, Rodrigo. "Mensuração da exposição no momento do default (EAD) para derivativos de balcão através da simulação de Monte Carlo." Universidade Presbiteriana Mackenzie, 2012. http://tede.mackenzie.br/jspui/handle/tede/627.
Full textThe difficulty in developing a statistical model that includes random variables and the need for intensive data processing capacity are the main challenges for the measurement of counterparty credit risk. The need to know the exposure value at the time of default (EAD) on a derivative instrument is a decisive factor for pricing, portfolio management and capital allocation. Recent events such as the creation of innovative products, coming from the new Basel Accord (Basel II) and the credit crisis of 2007/08 reinforce the importance of knowing what the actual credit risk exposure in a particular transaction. The aim of this study was to develop models for measuring credit risk of the counterparty from the estimation of counterparty exposure to bonds, equities and forward contract through the use of Monte Carlo simulation. The results of the sensitivity analysis indicate that certain parameters such as the interest rate, the mean and standard deviation show strong linear correlation with exposure (EAD) and this issue can be an important driver for the decision-making process. In the model of forward contract was found that correlated random variables can potentiate the exposure value.
A dificuldade em desenvolver um modelo estatístico que contemple variáveis aleatórias e a necessidade de intensa capacidade para processamento de dados são os principais desafios para a mensuração do risco de crédito de contraparte. A necessidade em conhecer o valor da exposição no momento do default (EAD) em um instrumento derivativo é fator decisivo para a precificação, gestão do portfólio e alocação de capital. Recentes acontecimentos como a criação de produtos inovadores, o advindo do novo acordo de Basileia (Basileia II) e a crise de crédito de 2007/08 reforçaram a importância de se saber qual o risco de crédito efetivo que cada contraparte está exposta em uma determinada transação. O objetivo deste estudo foi desenvolver modelos para mensuração do risco de crédito da contraparte a partir da estimação da exposição da contraparte para títulos, ações e contrato a termo de ações através da utilização da simulação de Monte Carlo. Os resultados da análise de sensibilidade indicam que certos parâmetros como a taxa de juro, a média e o desvio padrão apresentam forte correlação linear com a exposição (EAD) calculada e podem ser importantes direcionadores para o processo decisório. No modelo de contrato a termo de ações foi verificado que variáveis aleatórias correlacionadas potencializam o valor da exposição.
Frey, Rüdiger, and Lars Rösler. "Contagion Effects and Collateralized Credit Value Adjustments for Credit Default Swaps." WU Vienna University of Economics and Business, 2013. http://epub.wu.ac.at/3770/1/preprint_freyroesler.pdf.
Full textSeries: Research Report Series / Department of Statistics and Mathematics
Brouillou, Guerric. "La gestion du risque de contrepartie en matière des dérivés de gré à gré : approche juridique." Thesis, Paris 1, 2018. http://www.theses.fr/2018PA01D056/document.
Full textLn the aftermath of the 2008 financial crisis, the authorities tackled the issue of counterparty risk associated with OTC derivatives. The ten years that have passed since then allow us an opportunity to take stock of the effectiveness of the regulatory framework then put in place. This study aims to map the different elements that make up or feed the counterparty risk in OTC derivatives and analyzes the effectiveness of the various techniques deployed to manage it. The management tools used in OTC derivatives to mitigate counterparty risk rely on a variety of legal mechanisms. If some are at the free disposal of the parties, others are imposed by the regulations. All these instruments participate -alone or jointly-in actually mitigating the counterparty risk. But each of them only deals with a particular aspect of this risk and none of them can completely neutralise it. Some situations even sometimes disrupt the effectiveness of counterparty risk management tools and negate their beneficial effects. Ultimately, it is understood that the effective management of counterparty risk requires three stages: the identification of the risks attached to each operation, followed by the development of relevant management tools with a view to the mitigation of such risks, and finally steps to avoid the risk of inefficiency of the tools used. ln any case, counterparty risk management in OTC derivatives is not only imperfect but also eminently fragile
Mulaudzi, Mmboniseni Phanuel. "The subprime mortgage crisis : asset securitization and interbank lending / M.P. Mulaudzi." Thesis, North-West University, 2009. http://hdl.handle.net/10394/5097.
Full textThesis (Ph.D. (Applied Mathematics))--North-West University, Potchefstroom Campus, 2010.
Armakolla, Angela. "An assessment of CCP resilience under the new regulatory framework using public data." Thesis, Paris 1, 2017. http://www.theses.fr/2017PA01E086.
Full textNo English summary available
Sousa, Ana Isabel Amaro de. "Metodologias para mensurar a exposição ao risco de crédito de contraparte de derivados over--the-couter." Master's thesis, Instituto Superior de Economia e Gestão, 2011. http://hdl.handle.net/10400.5/4452.
Full textO Acordo de Basileia III prevê, além do aumento da qualidade e do nível de requisitos de capital, a revisão de métricas com vista a melhorar o nível de exposição ao Risco de Crédito de Contraparte (RCC). O objetivo deste trabalho é desenvolver metodologias para mensurar a exposição esperada ao RCC de derivados negociados fora de bolsa (Over-The-Counter – OTC), que consistem em contratos ligados ao futuro valor, ou situação, dos instrumentos subjacentes aos quais se referem. Neste contexto, a inovação do novo Acordo refere-se à introdução de um encargo de capital para cobrir o risco de perdas do valor de mercado do RCC esperado para os instrumentos derivados OTC. Estas potenciais perdas são denominadas Ajustamentos de Avaliação de Crédito (Credit Valuation Adjustment – CVA) e podem ser calculadas por diferentes métodos, dependendo para tal da aprovação do Banco de Portugal. Nas ilustrações, recorre-se frequentemente a Interest Rate Swaps, por serem o instrumento financeiro mais transacionado.
Basel III provides an increase of the quality and level of capital requirements, and also it presents a review of the metrics in order to improve the level of exposure to the Counterparty Credit Risk (CCR). In this framework I will develop methodologies to measure the expected exposure to the CCR of Over-the-Counter derivatives, which are contracts that are linked to the future value of the underlying instruments or situation to which they refer. In this context, Basel III innovation reports to the introduction of a capital charge to cover the risk of loss of the CCR Mark-to-Market expected value for OTC derivatives. These potential losses are called Credit Valuation Adjustments (CVA) and may be calculated using different methods, which must be approved by Banco de Portugal. There is a recurrent use of Interest Rate Swaps when providing examples, given that they are the most traded financial instruments.
Wass, Martin. "Mixed Integer Linear Programming for Allocation of Collateral within Securities Lending." Thesis, KTH, Optimeringslära och systemteori, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-277056.
Full textEtt blandat-heltal linjärt optimeringsproblem används för att lösa uppgiften att tilldela värdepapper från en bank till dess kunder som pant för värdepapperslån. Målet med optimeringen är att minska kostnaden av den tilldelade panten. Kostnaden bryts ned i komponenterna alternativkostnad, motpartsrisk och tripartykostnad. En lösning består av föreslagna transaktioner som ska genomföras för att förbättra den nuvarande säkerhetstilldelningens kostnad. En transaktion består av att ta hem eller skicka ut en kvantitet av ett visst värdepapper från eller till en av bankens kunders portföljer. Optimeringsproblemet bryts ned i flera delproblem med syfte att särskilja uppenbara föreslagna säkerheter till en godkänd tildelning som sedan blir en startpunkt för optimeringen. Att minska alternativkostnad visar sig vara enklare än att minska motpartsrisk och tripartykostnader på så sätt att de sistnämnda kostnaderna kräver fler transaktioner för att minskas. Optimeringen körs flera gånger i rad, där alla föreslagna transaktioner från en iteration genomförs innan nästa iteration körs. Kostnadsminskningen av k körningar med 10 transaktioner visar sig vara väldigt nära, om än något mindre, än en körning med 10k transaktioner. Exekveringstiden ökar drastiskt med antalet iterationer. De föreslagna transaktionerna kan behöva genomföras i en viss ordning. En problemformulering konstrueras som tar höjd för detta, men exekveringstiden är extremt lång när antalet transaktioner begränsas. Ett strategiskt urval av portföljer kan begränsa antalet föreslagna transaktioner utan att försämra lösningen särskilt mycket. På ett liknande sätt kan antalet föreslagna transaktioner minskas genom att lägga till ett villkor som säger att lönsamheten av en transaktion måste överskrida en given minsta tröskel. Den slutgiltiga modellen är redo att användas om de föreslagna transaktionerna granskas manuellt innan de genomförs. En helt automatisk process ligger längre fram i tiden efter ytterligare tester på historisk och nuvarande data.
Gourdy, Hélène. "La couverture sur les marchés financiers." Thesis, Paris 2, 2019. http://www.theses.fr/2019PA020020.
Full textSince the financial crisis of 2008, market participants have been seeking to increase the effectiveness of their protection against the specific risks arising from financial transactions to which they are daily exposed. At the same time, the legislator must ensure financial stability. The collateral, unique instrument, designed by financial actors, has been part of these two distinct purposes for some years now. This dual use clouds the concept and raises many questions.Initially conceived as a simple security deposit supplemented by margin calls based on changes in the value of outstanding transactions, collateral has since evolved significantly. Its uses have multiplied, and its boundaries have become uncertain, so much as to appear undefined. Referred to by various names, sometimes mandatory, sometimes optional, and used on regulated markets as well as over-the-counter, collateral now takes such varied forms that it is difficult to grasp its core substance. However, the increased use of this instrument requires that its regime be clarified and the legal uncertainties it produces be removed, given the magnitude of possible financial consequences.By reviewing all the current examples of coverage on the financial markets, this thesis aims to highlight the legal nature of this security interest, in order to shed the necessary light on the conditions for its implementation
Rahman, Dima. "The fragility of financial institutions : dependence structure, extremal behaviour and contagion." Thesis, Paris 10, 2011. http://www.theses.fr/2011PA100128.
Full textThis thesis examines the credit dependence structure and dynamics of financial institutions in the U.S. and Europe amid the recent financial crisis. A first chapter presents a survey of multi-name models of credit risk and econometric models of financial contagion with the purpose of guiding both the analytical and conceptual assumptions and econometric modelling techniques we use in the subsequent chapters. We show that if contagion has become a central cornerstone of multi-name models of credit risk, there is nonetheless a lack of consensus on the way to both define and measure it. A second chapter presents the results of an empirical analysis of U.S. and European banks and insurance companies’ CDS return extreme co-movements. By uncovering financial institutions' linear as well as extremal dependence structures, we provide evidence that their credit dependence has strengthened during the crisis, thereby effectively conveying, in the face of extreme tail events, potential systemic risks. A third and last chapter provides an economic rationale of the results presented in our second chapter. In particular, we examine the impact of common risk factors and contagion on the dynamics of financial institutions' extremal credit dependence. We demonstrate the role of counterparty risk and liquidity risk, as well the repricing by market participants since July 2007 of their jump-to-default premia as additional channels driving financial institutions' increased dependence and amplifying contagion on the CDS market
Delangle, Charline. "Les motifs du contrat à titre onéreux : étude comparative des droits français, anglais et allemand." Thesis, Bordeaux, 2020. http://www.theses.fr/2020BORD0278.
Full textReferring to the reasons for the conclusion of a contract, contractual motives are classically viewed in a negative way in French law : they are indifferent in principle, except in matters of control of the legality of the act, for which it is traditionally taught that motives of the parties are admitted without limitation. The essential aspect of motives in the contractual phenomenon does not fit well with this rejection of principle. A comparative analysis of the concrete solutions adopted in French, English and German laws not only makes it possible to challenge the principle of indifference of motives but, in addition, reveals substantial lines of convergence in the treatment of the question of contractual motives. Indeed, French, English and German laws meet, both in terms of legal policy at the basis of taking motives into account, and of the regime of this consideration. Also, the issue of motives is, first, inevitable with regard to the unitary requirement of a justification of engagement, which consists of a minimum interest in an onerous contract. Technically, the integration of a counterparty is thus necessary, and the laws studied include institutions making it possible to ensure the sufficiency of the interest that it represents. Beyond this necessary integration of a minimal motive, every law studied makes the fate of the contract dependent on the possibility of satisfying the utility which it pursues, as defined by all the motives tacitly or expressly integrated into it. The impossibility of motives at the formation of the contract or its execution is thus likely to lead to its contestation, provided that it does not constitute a risk to be supported by the one whose expectations are disappointed. The study of contractual motives in French, English and German comparative law leads to overcoming the traditional dogmatic oppositions - in particular centered on debates around the notion of cause - and offers a whole new perspective on the rules adopted in national law
Msahazi, Abdillah. "La préservation du système bancaire par la régulation : l'exemple du système bancaire comorien." Thesis, Paris 5, 2014. http://www.theses.fr/2014PA05D012.
Full textThis thesis on busness management, aims to elucidate the difficulties faced by the stakeholders of the Comorian banking system and to provide solutions to ensure its soundness, stability and sustainability. The thesis is divided into two parts. The first focuses specifically on the national and international context of the Comorian banking system. The second, highlights how the Comorian banks should adapt to the financial transparency and prudential supervision requirements. The first title of the first part, tries toshed light on the current organization of the Comorian banking system based on the French model (Chapter 1) and the contribution of the recent development of Islamic finance (Chapter 2) to close the gap in conventional banking. The reorganization of the Central Bank of the Comoros and the establishment of the local Islamic bank can contribute to a radical change in the Comorian banking system. The second title allows the regulator and lender of last resort (Central Bank of the Comoros ) to take the model of international prudential standards proposed by the Basel Committee (Basel II and III) to regulate the Comorian banking system in order to guarantee its soundness, stability and finally sustainability (Chapter 1). Through these recommendations of the Basel committee, we have provided solutions by developing Msahazi Credit Scoring Matrix Corporation, intended to analyse data of Comorian banks against endogenous risk (Chapter 2). We have also developed matrices other than Comorian banks used for internal rating of the counterparty risk (companies and individuals) to fight against exogenous risk. The second part of this thesis suggests two alternatives: the first is the requirement of financial transparency for Comorian banks (Pillar 3: Basel Conventions 2 and 3) in order to fight against embezzlement orchestrated by certain agents (Title I). The first chapter introduces the objective of financial reporting in general, and how the Basel Committee (Basel 2 and 3) asks banks to disclose their financial information (methods of risk assessments and equity). The second chapter provides credit rating techniques practiced at international level to the Comorian banks and supervisory authorities in order to distinguish the level of creditworthiness of companies and clients concerned. The second alternative we have given to the Central Bank of the Comoros is the techniques for strengthening prudential supervision (Pillar 2, Basel 2 and 3), (Title II) . The first chapter requires both the management and the bank's board of directors to define control techniques, identifications, assessments, risk managements and core capital goals. On the other hand, the supervisory authority (Comoros Central Bank) has to go through all these control tools. In the second and final chapter of the research, we propose to the Central Bank of the Comoros new prudential supervision methods to ensure the soundness, stability and sustainability of the banking system. We hope that all of these suggestions will help to preserve the soundness, stability and durability of the Comorian banking system in order to finance the development of the Comorian economy and lift the country out of poverty
Chen, Yan-Ling, and 陳彥伶. "Pricing Credit Default Swaps with the Intersection of Bilateral Counterparty, Reference and Market Risks." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/68940254935959203672.
Full text國立高雄第一科技大學
財務管理所
93
In this paper, we extend the model setup of Jarrow and Yu (2001), Jarrow and Turnbull (2000), Kusuoka (1999) to derive the credit default swaps with the intersection of bilateral counterparties, reference and market risks. We first derive the pricing formulas for zero coupon bonds of reference entity, protection buyers, and protection sellers respectively. We also derive the suitable swap rate of credit default swap. From the section of numerical analyses, we compare our models with the model of Jarrow and Yu (2001) and find that (1) the assumption of “idealized default swap” underprices the swap rates of the credit default swaps. (2) the swap rates are underestimated without considering the default risk of protection buyer. Furthermore, we also demonstrate that the swap rates are underestimated without considering the default correlation between protection buyer (seller) and reference obligation. Meanwhile, without the consideration of the intersection of market and credit risks, the swap rates maybe be overpriced or underpriced.
Yeh, Wen-Chi, and 葉文琦. "A Simplified Lattice Approach for Pricing Asset Swaps and Default Swaps with Counterparty Risks." Thesis, 2003. http://ndltd.ncl.edu.tw/handle/07749937600435368606.
Full text國立中央大學
財務金融研究所
91
In this paper we incorporate the counterparty risk concept of the Jarrow and Yu (2001) continuous-time model into the Hung and Wang (2002) lattice framework to develop a simple binomial method for valuing default swaps and asset swaps on convertible bonds with counterparty risks. The advantage in using our model is easily implemented for practitioners since the needed parameters in our model can be deduced from the market data of the term structures for the risk-free and risky bonds. From the simulation results, we find that both the default and counterparty risks play important roles in determining the values of asset swaps and default swaps.
Ndlangamandla, Phetha Mandlovini. "Quantifying counterparty credit risk." Thesis, 2013. http://hdl.handle.net/10539/12402.
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