Sökning: "Anton Schölin"

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  1. 1. On Credit Spreads: An Autoregressve Model Approach

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Anton Schölin; Filip Mörk Persson; [2017]
    Nyckelord :Mathematics and Statistics;

    Sammanfattning : This thesis proposes an autoregressive credit spread model to make long term simulations of credit spreads and credit indices in the Investment grade and High yield bond segments. Several models are tested, and the final spread model produces simulations with statistics consistent with historical data, even though the model itself is relatively parsimonious. LÄS MER