Print Email Facebook Twitter Interest Rate Modelling for Counterparty Credit Risk Title Interest Rate Modelling for Counterparty Credit Risk Author Ooms, J.C. Contributor Oosterlee, C.W. (mentor) Faculty Electrical Engineering, Mathematics and Computer Science Department Delft Institute of Applied Mathematics Programme Applied Mathematics Date 2015-04-09 Abstract In this thesis we describe a general framework to determine counterparty credit risk. Interest rates as risk factor will in this framework be generated by a Monte Carlo simulation and described by means of a stochastic model. We describe three equilibrium models that can apply the interest rate simulation. The characteristics of these models on risk factor level are compared by stochastic evolution, volatility analysis and the discrete likelihood method. These models are furthermore applied in the current low-rate environment to assess exposure for counterparties and two example interest rate products: the forward rate agreement and the interest rate swap. The quality of these models will then be assessed from the computed exposure and characteristics on risk factor level. Subject counterpary credit riskcapital calculationMonte Carlo simulationrisk mitigationinterest rate modellingexposure at default To reference this document use: http://resolver.tudelft.nl/uuid:0eb5d7c9-4712-4745-b8f4-a675c03b2073 Embargo date 2020-04-01 Part of collection Student theses Document type master thesis Rights (c) 2015 Ooms, J.C. Files PDF Interest_Rate_Modelling_f ... s_Ooms.pdf 4.26 MB Close viewer /islandora/object/uuid:0eb5d7c9-4712-4745-b8f4-a675c03b2073/datastream/OBJ/view