Sökning: "Liquidity Horizon"
Hittade 3 uppsatser innehållade orden Liquidity Horizon.
- Master-uppsats, KTH/Matematisk statistik; KTH/Matematisk statistik
Sammanfattning : With ever increasing regulatory pressure financial institutions are required to carefully monitor their liquidity risk. This Master thesis focuses on asserting the appropriateness of time series models for forecasting deposit volumes by using data from one undisclosed financial institution. LÄS MER
2. The Performance of Market Risk Models for Value at Risk and Expected Shortfall Backtesting : In the Light of the Fundamental Review of the Trading BookMaster-uppsats, KTH/Matematisk statistik
Sammanfattning : The global financial crisis that took off in 2007 gave rise to several adjustments of the risk regulation for banks. An extensive adjustment, that is to be implemented in 2019, is the Fundamental Review of the Trading Book (FRTB). LÄS MER
- D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi
Sammanfattning : In this study we have examined the informational content of OMXS30 index European style call and put Options which are traded on the OMX Swedish stock exchange by applying extensions of the BS model. Firstly, we use two models (Gram-Charlier expansion and Model-Free) to obtain robust implied higher order moment estimates. LÄS MER
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