The financial crisis and the bankruptcy of Lehman Brothers in 2008 lead to harder regulations for the banking industry which included larger capital reserves for the banks. One of the parts that contributed to this increased capital reserve was the the credit valuation adjustment capital charge which can be explained as the market value of the counterparty default risk. The purpose of the credit valuation adjustment capital charge is to capitalize the risk of future changes in the market value of the counterparty default risk. One financial contract that had a key role in the financial crisis was the credit default swap. A credit default swap involves three different parts, a contract seller, a contract buyer and a reference entity. The credit default swap can be seen as an insurance against a credit event, a default for example of the reference entity. This thesis focuses on the study and calculation of the credit valuation adjustment of credit default swaps. The credit valuation adjustment on a credit default swap can be implemented with two different assumptions. In the first case, the seller (buyer) of the contract is assumed to be default risk free and then only the buyer (seller) contributes to the default risk. In the second case, both the seller and the buyer of the contract is assumed to be default risky and therefore, both parts contributes to the default risk. / Finanskrisen och Lehman Brothers konkurs 2008 ledde till hårdare regleringar för banksektorn som bland annat innefattade krav på större kapitalreserver för bankerna. En del som bidrog till denna ökning av kapitalreserverna var kreditvärdighetsjusteringens kapitalkrav som kan förklaras som marknadsvärdet av motpartsrisken. Syftet med kreditvärdighetsjusteringens kapitalkrav är att kapitalisera risken för framtida förändringar i marknadsvärdet av motpartsrisken. Ett derivat som hade en nyckelroll under finanskrisen var kreditswappen. En kreditswap innefattar tre parter, en säljare, en köpare och ett referensföretag. Kreditswappen kan ses som en försäkring mot en kredithändelse, till exempel en konkurs på referensföretaget. Detta arbete fokuserar på studier och beräkningar av kreditvärdesjusteringen på kreditswappar. Kreditvärdesjusteringen på en kreditswap kan implementeras med två olika antaganden. I det första fallet antas säljaren (köparen) vara riskfri och då bidrar bara köparen (säljaren) till konkursrisken. I det andra fallet antas både säljaren och köparen bidra till konkursrisken.
Monte Carlo simulation of Counterparty Credit Risk / Monte Carlo simulation of Counterparty Credit RiskHavelka, Robert January 2015 (has links)
The counterparty credit risk is particularly hard to simulate and this thesis is only the second work so far, which considers effective simulation of couterparty risk. There are two new approaches to stochastic modelling, which are useful with respect to ef- ficient simulation of counterparty risk. These are Path-Dependent Simulation (PDS) and Direct-Jump to Simulation date (DJS). It had been show that DJS is far more ef- fective, when it comes counterparty risk simulation of path-independent derivatives. We focus on a portfolio of interest rate swaps, which are effectively path-dependent. DJS approach yields estimates with much lower variance than PDS approach. But as expected, the DJS is also much more computationally intensive. The increase in computing time in majority of cases wipes out any gains in lower variance and PDS approach is shown to be more effective, when computing time is taken into account. We also show that in practice the convergence rate of Monte Carlo method signif- icantly underestimates the true reduction in variance, which can be achieved with increasing number of scenarios. JEL Classification C02, C15, C63, G01, G12, G32 Keywords Monte Carlo, CVA, Exposure, Variance Author's e-mail firstname.lastname@example.org Supervisor's e-mail email@example.com
20 February 2021
BACKGROUND: Under the current treatment guidelines for acute ischemic stroke, intravenous alteplase may be used within 3-4.5 hours of symptom recognition or in cases of unknown onset if there is a small lesion on diffusion weighted imaging without increased signal on FLAIR sequence MRI. We seek to determine whether patients with lacunar strokes greater than 4.5 hours post onset with a DWI-FLAIR mismatch on imaging will benefit from thrombolysis with intravenous alteplase. METHODS: We will conduct a multicenter, randomized, double-blinded, placebo-controlled trial of patients presenting with acute ischemic stroke within 4.5 to 6 hours of symptom onset with DWI-FLAIR mismatch and without a large vessel occlusion. A target of 682 patients will be randomized to receive IV alteplase or placebo. The primary outcome is a favorable functional status as defined by a score of 0 or 1 on the modified Rankin scale (mRS) at 90 days. The secondary outcome is ordinal score on the modified Rankin scale at 90 days. The primary safety end points will be symptomatic intracranial hemorrhage (sICH) and death CONCLUSIONS: If intravenous (IV) alteplase is found to be an effective and safe treatment for lacunar stroke with DWI-FLAIR mismatch >4.5 hours from onset, these patients could have significantly reduced morbidity and improved long-term outcomes.
19 October 2017
On définit le risque de contrepartie comme le risque de détérioration de la qualité de crédit entrainant une incapacité de la contrepartie à remplir ses obligations contractuelles. De nos jours, ce risque ne se limite plus aux entreprises, mais s'est également étendu aux banques et autres institutions financières. Par conséquent, toute entité participant aux marchés dérivés OTC est exposée à ce risque. La «Credit Value Adjustment» (CVA) est la valeur de marché du risque de contrepartie. En raison de sa complexité, la mise en œuvre de la CVA demeure l'un des plus grands défis auxquels les banques font face depuis la dernière crise. Pour la plupart d’entre elles, sa mise en production nécessite des changements majeurs de l’infrastructure actuelle. En outre, le régulateur, dont le but est de renforcer la stabilité des marchés financiers, s’est également intéressé à la CVA en introduisant une nouvelle charge en capital liée au risque de contrepartie. Les contributions de notre thèse à la littérature existante sur le sujet se trouvent essentiellement aux chapitres 2, 3 et 4 du manuscrit. Dans les chapitres 2 et 3, nous proposons deux méthodes innovatrices pour le calcul de la CVA. Le chapitre 4 est, quant à lui, entièrement dédié à l’étude de la charge en capital réglementaire sous la régulation FRTB-CVA. / Counterparty risk is defined as the risk of credit worthiness deterioration, making the counterparty unable to meet its contractual obligations. Nowadays, this risk is no longer confined to corporate clients but has spread out to other banks and financial institutions. As a consequence, any firm participating in the over-the-counter (OTC) derivatives market is exposed to this risk. Credit Value Adjustment (CVA) is the market value of counterparty credit risk. Implementation of CVA still remains one of the biggest challenges banks face since the last financial crisis, due to its complexity and cost of implementation. For most banks, pricing the whole CVA book requires major changes on the infrastructure they currently have. Furthermore, regulatory responses to the last financial turmoil aimed at strengthening the financial system by introducing new capital requirements. The Basel III regulatory standard was developed in this respect, prescribing an additional capital charge to cover CVA losses.Our contributions to the relevant literature are chapters 2, 3 and 4. In chapters 2 and 3, we propose two innovative approaches to compute CVA that allow a huge reduction in computational costs. Chapter 4 is devoted to the study of the CVA capital charge under the new FRTB-CVA regulation.
Stroke is a serious disease that leaves many sufferers physically disabled. Treatment resources are limited, meaning stroke patients, are in many cases, discharged prior to reaching their full potential of physical recovery. The hypothesis of this research is that a system that enables regular guided and monitored therapeutic exercises in the home can provide a means for stroke patients to achieve a higher level of physical rehabilitation. This research is based on the design, build and testing of an experimental prototype system to allow this, with the aim of investigating the feasibility and potential value for such systems. Any system to assist rehabilitation in the home must clearly be low cost, safe and easy to use. The prototype system therefore aimed to achieve these features as well as focusing on the upper limb. Literature is reviewed in the fields of stroke, human anatomy and mechanisms, motor performance, feedback during motor learning, and existing systems and technology. Interviews are also conducted with stroke physiotherapists to gain input and feedback on concepts that were generated. Although systems exist with similar aims to those mentioned in the hypothesis, there are some areas where investigation is lacking. The prototype system measures movement using a novel combination of gyro sensors and flex sensors. The prototype system is designed with a focus on the method of interaction with patients and the provision of guidance and feedback that simulates that provided by a physiotherapist. The prototype system also provides a unique combination of quantitative information to patients of their personal improvements and graphical feedback of their movements and target movements. Finally, a novel categorisation of movement synergism (a form of movement coordination) is established and a novel method for detecting movement synergism is developed and tested. Performance of the prototype hardware is tested, and it is concluded that identified requirements have been met, although variability of recorded data is high. Tests also indicate that the prototype system is capable of detecting movement synergism. Finally, a controlled test involving healthy participants is performed to investigate the efficacy of the prototype as a whole. It was found that use of the prototype system resulted in a statistically significant improvement in conformance to target movements (p < 0.05). Findings are discussed in detail and the hypothesis is concluded as being supported overall. Recommendations for future research are made.
Kreditvärdighetsjusteringsmodell för ränteswappar / Credit Valuation Model for pricing credit margin on interest rate swapsFjällström, Ludvig, Vermelin, Leonard January 2016 (has links)
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.
Is gait training with the elliptically based robotic gait trainer (EBRGT) feasible in ambulatory patients after stroke?Bradford, J. Cortney 15 April 2011 (has links)
In response to the potential benefits of task specific training in rehabilitation of gait after stroke and the need for affordable, simple ways to implement it, our group designed the elliptically based robotic gait trainer (EBRGT). A design review of the EBRGT, covering the design goals, an overview of the mechanical and electrical design, and a discussion of the novelty of the device and why it may be beneficial for individuals with hemiparesis secondary to stroke is discussed (Chapter 2). To characterize the new device, a study was performed to determine if the EBRGT produced a gait pattern that mimicked level surface walking in healthy adults (chapter 3). Sagittal plane kinematic analysis suggested the EBRGT produced joint movement patterns that are similar to level surface walking at the hip and knee with less similarity between activities at the ankle. Electromyography (EMG) revealed that the EBRGT induced a cyclic muscle firing pattern that had some similarities when compared to level surface walking. We also examined the feasibility of ambulatory individuals after stroke to use the EBRGT and if their movement patterns were similar to healthy adults walking on the same device (Chapter 4). All six participants were able to walk on the device with minimal assistance. These participants had joint kinematics and EMG similar to healthy adults, suggesting that individuals with hemiparesis perform a gait like movement when using the EBRGT. Lastly, a study was performed to determine if the EBRGT could improve gait parameters and function in ambulatory individuals with hemiparesis after stroke (chapter 5). Four participants walked on the EBRGT 3x/week for 4 or 8 weeks. After the intervention, all 4 participants increased their preferred gait speed. One participant had an improvement in gait speed that indicated functional gains. The results of this research suggest that the EBRGT can produce a gait pattern that has some similarities to level surface walking and that it is feasible for ambulatory individuals with hemiparesis to use the device. The device may also improve gait parameters in ambulatory individuals after stroke, but future studies with a control group need to be performed.
Customer value in a B2B setting : An analysis of potential target markets for the rehabilitation company Svenska-ReIdenfors, Evelinn, Kjellin, Jennie January 2012 (has links)
This study aims to investigate potential B2B customer segments in Umeå concerning company-wellness and rehabilitation services. We will investigate the market, identify a prospect target market and evaluate this target market on commission from Svenska-Re. The company Svenska-Re offers a service where customers travel to Gran Canaria, Spain, for a three week rehabilitation program. They offer various programs and are specialized in work-related injuries. By evaluating the target market we will investigate if there is an interest and need of the services provided by Svenska-Re in Umeå.
Multidimensional Spatial Characterization of Plant Invasions in 'El Pinacate y Gran Desierto de Altar' Biosphere ReserveSanchez Flores, Erick. January 2006 (has links)
Invasive species are considered an agent of ecological change with more significant effects than global warming. Exotic plant invasions threaten biodiversity and ecosystem viability worldwide. Their effects in the Sonoran Desert ecosystems are a growing concern among ecologists and land managers. We hypothesized that highly dynamic desert environments are unstable, therefore more vulnerable to invasion by exotic plant species. To test this hypothesis we used a multidimensional approach to assess the spatial distribution of two exotic species: Brassica tournefortii (Saharan mustard) and Schismus arabicus (Arabian grass), in a portion of 'El Pinacate y Gran Desierto de Altar' Biosphere Reserve (PBR) in northwestern Sonora, Mexico. This approach combined genetic algorithms, geographic information systems, field methods, statistical analysis, and remote sensing modeling at multiple spatial and temporal scales to predict and test the current and potential distribution of the invasives over dynamic landscapes.Predicted probability of invasion was influenced strongly by human factors: Road networks were the strongest predictors of presence, revealing the potential importance of humans as vectors of invasiveness. Dynamic landscapes, associated mostly with vegetation losses, were detected spectrally in the eastern portion of the study area, very likely associated with past agricultural and current grazing activity. Combined models of high probability for invasion by B. tournefortii and S. arabicus over dynamic landscapes were tested against confirmed locations of the invasives and land cover types associated with invasion. Results confirmed the hypothesis of the study and suggest that more dynamic landscapes are more prone to invasion by these two exotic plants in the PBR. B. tournefortii was found associated mostly with landscapes occupied by microphyllous desert scrub and grassland, as well as sarcocaulescent desert scrub. S. arabicus was found more abundantly in the flat low lands occupied by microphyllous and crassicaulescent desert scrub. These relationships cannot, however, be conclusive and require further investigation due to the complex ecology of these invasives.
03 July 2012
The credit valuation adjustment (CVA) on an over-the-counter derivative transaction is the price of the risk associated with the potential default of the counterparties to the trade. This dissertation provides an introduction to the concept of CVA, beginning with the required backdrop of counterparty risk and the basics of default risk modelling. Right and wrong way risks are central themes of the dissertation. A model for the pricing of both the unilateral and the bilateral CVA on a credit default swap (CDS) is implemented. Each step of this process is explained thoroughly. Results are reported and discussed for a range of parameters. The trends observed in the CDS CVA numbers produced by the model are all justified and the right and wrong way nature of the exposures captured. In addition, the convergence and stability of the numerical schemes utilised are shown to be appropriate. A case study, in which the model is applied to a set of market scenarios, concludes the dissertation. Since the field is far from established, a number of areas are suggested for further research. Copyright / Dissertation (MSc)--University of Pretoria, 2012. / Mathematics and Applied Mathematics / unrestricted
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