Sökning: "Avkastningskurva"

Visar resultat 1 - 5 av 10 uppsatser innehållade ordet Avkastningskurva.

  1. 1. Modeling Interest Rate Risk in the Banking Book

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Måns Ulmgren; [2022]
    Nyckelord :applied mathematics; IRRBB; Nelson Siegel; yield curve; tillämpad matematik; IRRBB; Nelson Siegel; avkastningskurva;

    Sammanfattning : For a long time, being able to model and mitigate financial risk has been a key success factor for institutions. Apart from an internal incentive, legal and regulatory requirements continue to develop which increases the need for extensive internal risk control. LÄS MER

  3. 2. 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

  4. 3. Swedish Interest Rate Curve Dynamics Using Artificial Neural Networks

    Master-uppsats, KTH/Matematisk statistik

    Författare :Richard Spånberg; Billy Wallander; [2020]
    Nyckelord :Artificial Neural Network; Yield curve; PCA; Financial Mathematics; Neurala Nätverk; Avkastningskurva; PCA; Finansiell Matematik;

    Sammanfattning : This thesis is a comparative study where the question is whether a neural network approach can outperform the principal component analysis (PCA) approach for predicting changes of interest rate curves. Today PCA is the industry standard model for predicting interest rate curves. LÄS MER

  5. 4. IRRBB in a Low Interest Rate Environment

    Master-uppsats, KTH/Matematisk statistik

    Författare :Simon Berg; Victor Elfström; [2020]
    Nyckelord :IRRBB; Gap Risk; Basis Risk; Option risk; Interest rate; Yield Curve; Nelson Siegel Svensson; PCA; Cholesky Decomposition; EBA; EVE; NII; Risk; Interest rate risk; IRRBB; Gaprisk; Basrisk; Optionsrisk; Ränta; Avkastningskurva; Nelson Siegel Svensson; PCA; Cholesky Decomposition; EBA; EVE; NII; Risk; Ränterisk;

    Sammanfattning : Financial institutions are exposed to several different types of risk. One of the risks that can have a significant impact is the interest rate risk in the bank book (IRRBB). In 2018, the European Banking Authority (EBA) released a regulation on IRRBB to ensure that institutions make adequate risk calculations. LÄS MER

  7. 5. Modeling the Term Structure of Interest Rates with Restricted Boltzmann Machines

    Master-uppsats, KTH/Matematisk statistik

    Författare :Markus Berg; [2018]
    Nyckelord :;

    Sammanfattning : This thesis investigates if Gaussian restricted Boltzmann machines can be used to model the Swedish term structure of interest rates. The models are evaluated based on the ability to make one-day-ahead forecasts and the ability to generate long term scenarios. The results are compared to simple benchmark models, such as assuming a random walk. LÄS MER