Sökning: "Bond index"

Visar resultat 21 - 25 av 48 uppsatser innehållade orden Bond index.

  1. 21. Application of Machine Learning to Financial Trading

    Master-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Författare :Michal Horemuz; [2018]
    Nyckelord :Machine Learning; Financial; Trading; XGBoost; Bond index; Michal; Horemuz;

    Sammanfattning : Machine learning methods have become powerful tools used in multiple industries. They have been successfully applied to problems such as image recognition, speech recognition and machine translation, among others. In this report, we investigated several machine learning methods for forecasting five different bond indexes. LÄS MER

  3. 22. The impact of macro-economic indicators on credit spreads

    Master-uppsats, KTH/Matematisk statistik

    Författare :Marouane Brahimi; [2017]
    Nyckelord :;

    Sammanfattning : A model of credit spreads variations, based on macroeconomic and market variables, has been developed and presented in this paper. Credit spreads of speculative and investment grade bonds have been investigated, leading us to a linear relationship between their quarterly variations. LÄS MER

  4. 23. Copula selection and parameter estimation in market risk models

    Master-uppsats, KTH/Matematisk statistik

    Författare :Carl Ljung; [2017]
    Nyckelord :;

    Sammanfattning : In this thesis, literature is reviewed for theory regarding elliptical copulas (Gaussian, Student’s t, and Grouped t) and methods for calibrating parametric copulas to sets of observations. Theory regarding model diagnostics is also summarized in the thesis. LÄS MER

  5. 24. 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

  7. 25. Hierarchical clustering of market risk models

    Master-uppsats, KTH/Matematisk statistik

    Författare :Ludvig Pucek; Viktor Sonebäck; [2017]
    Nyckelord :;

    Sammanfattning : This thesis aims to discern what factors and assumptions are the most important in market risk modeling through examining a broad range of models, for different risk measures (VaR0.01, S0:01 and ES0:025) and using hierarchical clustering to identify similarities and dissimilarities between the models. LÄS MER