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Kreditvärdighetsjusteringsmodell för ränteswappar
Umeå University, Faculty of Science and Technology, Department of Mathematics and Mathematical Statistics.
Umeå University, Faculty of Science and Technology, Department of Mathematics and Mathematical Statistics.
2016 (Swedish)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesisAlternative title
Credit Valuation Model for pricing credit margin on interest rate swaps (English)
Abstract [en]

Before the global financial crisis around 2008, the priority of the credit margin

was comparatively low and was not taken into consideration as much as today.

Many actors believed that credit risk could be neglected at various valuations.

Due to that a lot of parties went bankrupt because of the low priorities. Today,

this is a natural component in the financial market due to the capital regulation

CRR and the Capital requirement directives (CRD IV), which are directly

related to Basel III. In this thesis the authors have created a Credit valuation

adjustment model, or a CVA-model, on behalf of the consulting firm AGL who

want to use it in negotiations of interest rate swap with financial institutions.

Factors as expected exposure, loss given default and probability of default are

estimated in order to estimate a fair value for CVA. As a final product, the authors

have created a model in VBA that can price CVA for individual contracts.

This model is then evaluated and a sensitivity analysis is performed to see what

impact credit rating and maturity have on the result.

Place, publisher, year, edition, pages
2016. , 46 p.
Keyword [en]
CVA, Credit Valuation Adjustment, Credit Risk, Market Risk
National Category
Other Engineering and Technologies not elsewhere specified Mathematics
Identifiers
URN: urn:nbn:se:umu:diva-121340OAI: oai:DiVA.org:umu-121340DiVA: diva2:932131
External cooperation
AGL
Educational program
Master of Science in Engineering and Management
Supervisors
Examiners
Available from: 2016-06-01 Created: 2016-05-31 Last updated: 2016-06-01Bibliographically approved

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CiteExportLink to record
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Citation style
  • apa
  • ieee
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  • de-DE
  • en-GB
  • en-US
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  • nn-NO
  • nn-NB
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  • Other locale
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Output format
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