Sökning: "Term-structure"

Visar resultat 1 - 5 av 30 uppsatser innehållade ordet Term-structure.

  1. 1. Classification of Monetary Policy Decisions through Text Mining Techniques

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Författare :Manuel von Krosigk; [2018]
    Nyckelord :Sentiment analysis; Text mining; Monetary policy; Term structure of interest rates;

    Sammanfattning : Ellingsen, Söderström and Masseng (2003) describe an empirical strategy to test their model about how central bank interventions affect asset prices. They manually analyse a Wall Street Journal column in order to determine whether bond traders interpreted a target rate change as reaction to new information about the economy or change of central bank preferences. LÄS MER

  2. 2. The Fallacy of The Cox, Ingersoll & Ross Model. An empirical study on US bond data

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Gusten Lindkvister; Philip Swärd; [2017-07-26]
    Nyckelord :Term-structure; CIR; interest rates; bonds; US Treasury Notes;

    Sammanfattning : MSc in Finance.... LÄS MER

  3. 3. The Effect of Monetary Policy on the European Corporate Bond Market - Evidence from the yield and credit spread curve term structure

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

    Författare :Ida Marta Metsis; Laura Lindberg; [2017]
    Nyckelord :Monetary policy; Corporate bonds; Interest rate; Quantitative easing; Yield curve;

    Sammanfattning : This paper examines the effect of monetary policy mechanisms used by the European Central Bank on the euro-denominated corporate bond market. The focus of the paper is to analyse the impact of the central bank set interest rate for main refinancing operations (MRO) and two of the recent quantitative easing programmes - Public Sector Purchase Programme and Corporate Sector Purchase Programme - on the entire corporate yield curve. LÄS MER

  4. 4. Internal model for spread risk under Solvency II

    Master-uppsats, KTH/Matematisk statistik

    Författare :Filip Ahlin; [2017]
    Nyckelord :;

    Sammanfattning : In May 2009 the European Commission decided on new regulations regarding solvency among insurance firms, the Solvency II Directive. The directive aims to strengthen the connection between the requirement of solvency and risks for insurance firms. The directive partly consists of a market risk module, in which a credit spread risk is a sub category. LÄS MER

  5. 5. A Floating Currency Macro Term Structure Model

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Niklas Lindeke; [2017]
    Nyckelord :Macro-finance; term structure models; exchange rate risks; Business and Economics;

    Sammanfattning : During the last decade there has been many advances in the field of research focusing on term structure models that include macroeconomic risks. The fact that such risks adds to the predictive power of risk premia is evident. LÄS MER

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