Sökning: "Bond index"

Visar resultat 16 - 20 av 48 uppsatser innehållade orden Bond index.

  1. 16. An analysis of the underlying variables on the credit spread of the Swedish corporate bond market

    Kandidat-uppsats, KTH/Matematisk statistik

    Författare :Markus Olofsgård; Philip Göransson; [2020]
    Nyckelord :Statistics; applied mathematics credit spread; regression analysis; corporate bonds; Statistik; tillämpad matematik; kreditspread; regressionsanalys; företagsobligationer;

    Sammanfattning : The purpose of this thesis is to define which variables affect the average credit spread on the Swedish bond market. The study is conducted via the help of Enter Fonder, who contributes with data and insight into the Swedish corporate bond market. Earlier research has put a lot of weight on the connection between default risk and credit spread. LÄS MER

  3. 17. Simulation-Based Portfolio Optimization with Coherent Distortion Risk Measures

    Master-uppsats, KTH/Matematisk statistik

    Författare :Andreas Prastorfer; [2020]
    Nyckelord :Risk Management; Portfolio Optimization; Conditional Value-at-Risk; Coherent Distortion Riks Measures; Elliptical Distribution; GARCH model; Normal Copulas; Extreme Value Theory; Risk Contributions; Riskhantering; Portföljoptimering; Conditional Value-at-Risk; Koherenta distortionsriskmått; Elliptiska fördelningar; GARCH modeller; Normal-copula; Extremvärdes teori; Riskbidrag;

    Sammanfattning : This master's thesis studies portfolio optimization using linear programming algorithms. The contribution of this thesis is an extension of the convex framework for portfolio optimization with Conditional Value-at-Risk, introduced by Rockafeller and Uryasev. LÄS MER

  4. 18. Risk Adjusted Performance Analysis of Corporate High-Yield Bonds

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

    Författare :Anton Wahlberg; [2019]
    Nyckelord :High-Yield Bonds; Fama French Factors; Factor Investing; Alpha;

    Sammanfattning : This paper evaluates whether corporate high-yield bond returns can be explained by the Fama French Factors and other accepted factors as commonly used when analyzing equity excess returns. As high yield bonds exhibit a somewhat similar return profile as equities, the hypothesis is furthermore that their excess returns should to a significant extent be explained by the same risk-factors. LÄS MER

  5. 19. Diversification possibilities in the Swedish financial markets - A correlation analysis of the returns of stock, bonds and real estate

    Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Författare :Navid Haddad; Jacob Wergeland; [2018-07-09]
    Nyckelord :;

    Sammanfattning : The purpose of this study is to analyse the risk-adjusted returns of Swedish stocks, Swedish fixed income gov.- bonds and real estate return over the last 8 years in combination with the time-varying aspects of the correlation between the asset classes. The method used is a time-series analysis of OMXS30, SWEGOVT115, and SX8600PI. LÄS MER

  7. 20. Forecasting High Yield Corporate Bond Industry Excess Return

    Master-uppsats, KTH/Matematisk statistik

    Författare :Carlos Junior Lopez Vydrin; [2018]
    Nyckelord :;

    Sammanfattning : In this thesis, we apply unsupervised and supervised statistical learning methods on the high-yield corporate bond market with the goal of predicting its future excess return. We analyse the excess return of industry based indices of high-yield corporate bonds belonging to the Chemical, Metals, Paper, Building Materials, Packaging, Telecom, and Electric Utility industry. LÄS MER