Sökning: "Liquidity Horizon"

Hittade 5 uppsatser innehållade orden Liquidity Horizon.

  1. 1. Forecasting Non-Maturing Liabilities

    Master-uppsats, KTH/Matematisk statistik; KTH/Matematisk statistik

    Författare :Adrian Ahmadi-Djam; Sean Belfrage Nordström; [2017]
    Nyckelord :;

    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. 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 Book

    Master-uppsats, KTH/Matematisk statistik

    Författare :Katja Dalne; [2017]
    Nyckelord :Risk Management; Financial Time Series; Value at Risk; Expected Shortfall; Monte Carlo Simulation; GARCH modeling; Copulas; Hybrid Distribution; Generalized Pareto Distribution; Extreme Value Theory; Backtesting; Liquidity Horizon; Basel regulation.;

    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

  3. 3. Dividends and risks in banks : An investigation of a relationship between dividends and risks in Nordic banks

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Företagsekonomi

    Författare :Hanna Senakosava; [2015]
    Nyckelord :dividends; market risk; credit risk; default risk; liquidity risk; operational risk; Denmark; Sweden; Norway; Finland;

    Sammanfattning : Banks represent one of the most important parts of the economy in the world. As a result, decisions of bank management affect not just the direct bank stakeholders but the state of the economy and society as a whole. LÄS MER

  4. 4. Derivative market: efficient option pricing models and predictive informational content

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Martins Feldmanis; Juris Rumba; [2013]
    Nyckelord :Volatility surface; Implied volatility and its informational content; Put Call volume ratio; Model-Free implied volatility; Gram-Charlier Expansion;

    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

  5. 5. Stock Repurchases - A Fashion in the Corporate Wardrobe? : A Quantitative Study of Institutional Isomorphism within the Swedish Industrial Sector

    Magister-uppsats, Umeå universitet/Handelshögskolan vid Umeå universitet; Umeå universitet/Handelshögskolan vid Umeå universitet

    Författare :Jan-Johan Larsson; Leander Schorr; [2007]
    Nyckelord :Stock repurchases; Payout policy; Institutional theory; Mimetic; normative and coercive isomorphism; Swedish industrial sector;

    Sammanfattning : In May 2000 share repurchases were legalized in Sweden, with the purpose to provide companies with an efficient and flexible way to distribute capital. To buy back shares gives companies several benefits which are discussed in our study. LÄS MER

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