Sökning: "Term-structure"

Visar resultat 11 - 15 av 55 uppsatser innehållade ordet Term-structure.

1. 11. Consistent Projection of the Balance Sheet : A Holistic Approach to Modelling Interest Rate Risk in the Banking Book

   Master-uppsats, KTH/Matematik (Avd.)

   Författare :Gabriella Hulström; [2021]
   Nyckelord :Adjoint algorithmic differentiation; Economic Value of Equity; Interest Rate Risk; Net Interest Income; Risk Management; Adjoint algoritmisk derivering; Ekonomiskt Värde av Eget Kapital; Ränterisk; Räntenetto; Riskhantering;

   Sammanfattning : When modelling risk in the banking book, a simple capital level approach can fail to capture the interactions between different risk measures or risk classes since they are modelled separately. In this thesis we propose a model for projecting the book value of a run-off balance sheet portfolio of fixed and variable rate loans, while also calculating net interest income, economic value of equity, capital requirement and capital cost within the same model. LÄS MER

3. 12. Hedging of a foreign exchange swapbook using Stochastic programming

   Master-uppsats, Linköpings universitet/Produktionsekonomi

   Författare :Emma Bohlin; Jonatan Harling; [2021]
   Nyckelord :term structure measurement; optimization; hedging; foreign exchange swaps; interest rates; FX; stochastic programming;

   Sammanfattning : A large part of the foreign exchange market concerns the trading of FX swaps. While entering a position in a FX swap does not cost any money, banks earn money on FX swaps when their customers cross the bid/ask spread, creating a perceived transaction costs for the swaps. LÄS MER

4. 13. Factor Models For The Term Structure Of STIBOR Rates

   Kandidat-uppsats, Lunds universitet/Matematisk statistik

   Författare :Jonatan Persson; [2021]
   Nyckelord :Interest rates; Time series; State space models; Mathematics and Statistics;

   Sammanfattning : The yield curve of a collection of debt contracts describes the yield of the debt contract as a function of the length-to-maturity of the contract. It turns out that these yield curves provide useful insight about the economy as a whole and can, for example, be used to predict short-term economic downturns. LÄS MER

5. 14. Debt Portfolio Optimization at the Swedish National Debt Office: : A Monte Carlo Simulation Model

   Kandidat-uppsats, KTH/Matematisk statistik

   Författare :Felix Greberg; [2020]
   Nyckelord :Public Debt Management; Financial Mathematics; Portfolio Optimization; Ornstein–Uhlenbeck; Vector Autoregression; Term Structure Evolution; Nelson-Siegel; R; Monte Carlo simulation; Skuldförvaltning; Finansiell matematik; Portföljoptimering; Ornstein–Uhlenbeck; Vector autoregression; Ränteutvecklingsmodeller; Nelson-Siegel; R; Monte Carlo-simulering;

   Sammanfattning : It can be difficult for a sovereign debt manager to see the implications on expected costs and risk of a specific debt management strategy, a simulation model can therefore be a valuable tool. This study investigates how future economic data such as yield curves, foreign exchange rates and CPI can be simulated and how a portfolio optimization model can be used for a sovereign debt office that mainly uses financial derivatives to alter its strategy. LÄS MER

7. 15. Constructing the term structure of the U.S. corporate credit spread components - is there a relationship with the real economy?

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Författare :Diana Iovanel; [2020]
   Nyckelord :Macro-finance; Term structure; Level factor; Slope factor; Business cycles;

   Sammanfattning : This paper decomposes the credit spread of U.S. corporate bonds into a component driven by issuer default-risk and a component common to all bonds in the market. It then uses these components to develop a procedure for constructing their term structure. LÄS MER