Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 10 of 10 for “"Counterparty risk"”.
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Numerical Solutions to PDE Representations of Derivatives with Bilateral Counterparty Risk and Funding Costs
… finite-difference scheme to solve Black-Scholes risk-free PDE, for European and American options, and show how this numerical solution approach is extendable to solve the risky PDE for the value of the same derivative using the same finite-difference scheme and algorithm. Also, we present …
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Essays in financial economics
… yields. Rather than face increases in default risk or direct interest costs these firms reduce debt issuances to improve ratings, leading to reduced investment and asset growth in the years following the ruling. In the third chapter (co-authored with Eric Hughson and Marc Weidenmier) we explore …
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Theoretical and Computational Analysis of Credit and Liquidity Risk with Multiple Defaults
… attention to the credit and liquidity risks. Two such concepts (related to credit and liquidity risks) that have been repeatedly mentioned in the regulatory announcements are the credit value adjustment (CVA) and the Incremental Risk Charge (IRC). The CVA is an adjustment to the …
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Four Essays Investigating the U.S. Subprime Mortgage-Backed Securities Market
… a consensus that an underestimation of the risks associated with these products led to problems for the entire financial system. Therefore, this thesis seeks to provide a better understanding of these complex financial instruments and their role in the propagation of the crisis. We focus on …
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Essays in Asset Management: Mutual Funds and Exchange-traded Funds
… neither improve subsequent fund returns and risk measures, nor increase future flows into the fund. Using sub-advisor turnover to change the degree of competition among sub-advisors does not affect the performance of incumbent sub-advisors. Overall, there is no evidence that sub-advisor …
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Financial Portfolio Risk Management: Model Risk, Robustness and Rebalancing Error
Risk management has always been in key component of portfolio management. While more and more complicated models are proposed and implemented as research advances, they all inevitably rely on imperfect assumptions and estimates. This dissertation aims to investigate the gap between complicated …
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Credit risk modelling in Markovian HJM term structure class of models with stochastic volatility
… to stochastic volatility. A good credit risk model should incorporate the correlation between the short rate and credit spread or indirectly influence the market's perception of default risk which has an impact on credit spreads. The objective of this thesis is to model credit risk within …
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Essays in Energy Economics: A global empirical examination of decarbonization policies and of trade in energy technology materials
… developing countries from 1980-2018 dealt with counterparty risk, referring to the bankability of private participation. The impacts on decarbonization of other policy instrument categories (e.g. legal frameworks for renewable energy) are low but tend to increase with time, and we discuss …
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ESSAYS ON INTERBANK NETWORKS AND SYSTEMIC RISK IN THE EUROPEAN UNION BANKING SECTOR
… in correlated assets, the valuation of counterparty risk, and banks' diversification into non-traditional sources of revenue are potential channels amplifying contagion. This thesis, therefore, examines factors that contribute to systemic risk in the European Union banking sector. First, …
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Central Counterparties : Risk management of central counterparties focusing on the analysis of stress tests
… resilience. CCPs’ role is to take over the counterparty risk during trading. A CCP needs to operate a multi-level guarantee system that can absorb losses of clearing members’ defaults to fulfill its role. One of the main focal points of my research is to analyze how the size of the guarantee …