Sökning: "Volatility Risk Premium"

Visar resultat 1 - 5 av 38 uppsatser innehållade orden Volatility Risk Premium.

1. 1. Do you want to swap? A study of the liquidity risk in the SEK interest rate swap market

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Viktor Edberg; Carl Hjelmqvist; [2023-06-29]
   Nyckelord :Bao; Pan; Wang indicator; Determinants; Dimensions of liquidity; Forward Rate Agreement; Fundamental Review of the Trading Book; Generalized least squares; Interest Rate Derivative; Interest Rate Swap; Liquidity horizon; Liquidity risk premium; Market liquidity; SVEN spread; Swap Spread; Swedish Government benchmark bond; Treasury-Eurodollar; Turnover ratio; Turnover-per-day; Volume-adjusted intraday volatility;

   Sammanfattning : Interest rate swaps are one of the world’s most essential interest rate derivatives. It is therefore important to understand the pricing of these agreements, and how the market is functioning. LÄS MER

3. 2. Comply or Die: A Study of ESG Factor Returns and Volatility in the Nordic Countries from 2016 to 2022

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

   Författare :Jean-Philippe Chakbazof; Amitesh Raghav; [2023]
   Nyckelord :ESG Factor; Nordic Compass; Fama Macbeth; Volatility Management; ESG Portfolio;

   Sammanfattning : Using corporate environmental, social and governance (ESG) reporting data from 611 publicly traded firms in the Swedish House of Finance's Nordic Compass database, we estimate stock return and volatility exposures to an ESG factor during the period 2016-2022 in the Nordics. Using a Fama-Macbeth methodology, we find that during this time in the Nordic Countries exposure to an ESG factor is compensated with a risk premium and a volatility reduction in a Fama French 4 Factor model. LÄS MER

4. 3. Powering up profits - Integrating Power Purchase Agreements and Battery Systems for Nordic Power Futures

   Master-uppsats, Lunds universitet/Institutionen för energivetenskaper

   Författare :William Thorwaldson; Ellen Jinglöv; [2023]
   Nyckelord :Power Purchase Agreements; Financial Power Trading; Battery Energy Storage Systems; Power Futures; Technology and Engineering;

   Sammanfattning : This master’s thesis aims to assess the profitability and the factors impacting the profitability of entering a short position in financial derivative contracts on the Nordic power market while procuring electricity through a pay-as-produced power purchase contract and on the day-ahead (DA) market, simultaneously the strategy utilizes a battery storage system to mitigate the effects of price spikes. The research adopted a mixed-method approach by combining quantitative analysis with qualitative findings. LÄS MER

5. 4. Företagsspecifika riskpremier : En redogörelse för hur svenska analytikerhus och banker jobbar med ytterligare avkastningskrav

   Magister-uppsats, Linköpings universitet/Institutionen för ekonomisk och industriell utveckling; Linköpings universitet/Filosofiska fakulteten

   Författare :Christoffer Schüler; Victor Tubérus Liljekvist; [2022]
   Nyckelord :Firm-specific risk premiums; CAPM; WACC; Company Valuation; Bias; Additional required rate of return; Företagsspecfika riskpremier; CAPM; WACC; Företagsvärdering; Bias; Ytterligare avkastningskrav;

   Sammanfattning : Bakgrund: Analytikerhus och banker har i dagsläget en betydande roll för värderingen av företag och allmänhetens investeringsbeslut som följer dessa aktörers råd. Oavsett värderingsmetod så har analytikern en stor frihet i värderingsprocessen och det finns mycket möjligheter för subjektiva bedömningar och antaganden. LÄS MER

7. 5. Stock Market Volatility in the Context of Covid-19

   Magister-uppsats, Jönköping University/IHH, Företagsekonomi

   Författare :Liu Kunyu; [2022]
   Nyckelord :The U.S. stock market; COVID-19; volatility clustering; GARCH models; leverage effect;

   Sammanfattning : The global economy has been severely impacted during the Covid-19 period. The U.S. stock market has also experienced greater volatility. LÄS MER