Sökning: "Denis Gerzic"

Hittade 2 uppsatser innehållade orden Denis Gerzic.

  1. 1. An Evaluation of Swedish Municipal Borrowing via Nikkei-linked Loans

    Master-uppsats, Linköpings universitet/Produktionsekonomi; Linköpings universitet/Produktionsekonomi

    Författare :Robert Constantin; Denis Gerzic; [2018]
    Nyckelord :Municipal borrowing; Nikkei-linked loans; Multi-curve framework; Discounting curves; Forward curves; CVA; Monte Carlo simulation; Structured bond; Black and Scholes PDE; Structured swap;

    Sammanfattning : In this master thesis, we compare three different types of funding alternatives from a Swedish municipality's point of view, with the main focus on analysing a Nikkei-linked loan. We do this by analysing the resulting interest rate and the expected exposures, taking collateral into consideration. LÄS MER

  2. 2. A Study on the Low Volatility Anomaly in the Swedish Stock Exchange Market : Modern Portfolio Theory

    Kandidat-uppsats, Linköpings universitet/NationalekonomiLinköpings universitet/Fysik och elektroteknik; Linköpings universitet/NationalekonomiLinköpings universitet/Fysik och elektroteknik

    Författare :George Abo Al Ahad; Denis Gerzic; [2017]
    Nyckelord :Fama and Macbeth; Fama and French; Low Volatility Anomaly; Stock; Market; Portfolio Theory; CAPM; Econometrics; Expected return forecasting;

    Sammanfattning : This study investigates, with a critical approach, if portfolios consisting of high beta stocks yields more than portfolios consisting of low beta stocks in the Swedish stock exchange market. The chosen period is 1999-2016, covering both the DotCom Bubble and the financial crisis of 2008. LÄS MER