Sökning: "Banks Interest spread"

Visar resultat 1 - 5 av 22 uppsatser innehållade orden Banks Interest spread.

  1. 1. Pricing of Embedded Options: Implementing Stochastic Interest Rates & Stochastic Spread

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Jan Müller; [2022]
    Nyckelord :Option pricing; Callable bonds; Affine term structure models; Hull-White one-factor; Hull White two-factor; Trinomial trees; Short rate; Default intensity; Swaption volatilities; Black-76; Credit derivatives; Calibration; Optimisation.; Mathematics and Statistics;

    Sammanfattning : Given the current market climate, in an era of negative interest-rates, the Hull-White model has regained popularity in the eyes of investors. This thesis aims to extend this model to incorporate credit risk, to allow the modelling of credit derivatives such as diff swaps, defaultable corporate bonds and credit default swaps. LÄS MER

  3. 2. 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. 3. The Impact of Business Cycles on the Profitability of Chinese Commercial Banks

    Magister-uppsats, Jönköping University/IHH, Företagsekonomi

    Författare :Bo Wu; Mingfang Wang; [2020]
    Nyckelord :Business Cycles; Chinese Commercial Banks; Profitability; Panel Data;

    Sammanfattning : Chinese commercial banks are the leading players directly participating in China's market economy activities. Macroeconomic stability is an essential prerequisite for the development of the banking industry. LÄS MER

  5. 4. An Empirical Study on the Reversal Interest Rate

    Master-uppsats, KTH/Matematisk statistik

    Författare :Pontus Berglund; Daniel Kamangar; [2020]
    Nyckelord :reversal interest rate; effective lower bound; negative interest rates; monetary policy transmission; interest rate pass-through; bank lending;

    Sammanfattning : Previous research suggests that a policy interest rate cut below the reversal interest rate reverses the intended effect of monetary policy and becomes contractionary for lending. This paper is an empirical investigation into whether the reversal interest rate was breached in the Swedish negative interest rate environment between February 2015 and July 2016. LÄS MER

  7. 5. Digitaliseringens påverkan på lånemarknaden : En kvantitativ studie om låntagares val av långivare

    Kandidat-uppsats, Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Författare :Johan Billsten; Olle Dolk; [2019]
    Nyckelord :Lån; Digitalisering; Generationer; Kundnöjdhet; Osäkerhet och risk; Förtroende;

    Sammanfattning : Bakgrund: Banker utgör en viktig del i dagens finansiella system med huvudsaklig uppgift att omfördela investeringar och besparingar, fördela risker samt tillhandahålla effektiva betalningslösningar. Lånemarknaden har länge tillhört bankernas säkraste inkomstkälla men digitaliseringens framfart har nu öppnat möjligheter för nya aktörer. LÄS MER