Sökning: "Erik boltenstål"

Hittade 2 uppsatser innehållade orden Erik boltenstål.

1. 1. Statistical Arbitrage Using Cross-Market Pairs Trading

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

   Författare :Erik Boltenstål; [2018]
   Nyckelord :Statistical Arbitrage; Cointegration; Kalman Filter; Pairs Trading;

   Sammanfattning : Pairs trading is a statistical arbitrage strategy that offers appealing properties for the sophisticated investor. The concept relies on the creation of a mean-reverting spread between two assets, where there is assumed to exist a long-term equilibrium relationship. LÄS MER

3. 2. Diminishing Risk-Weights Under the Basel II Accord: A Sign of Better Credit Quality or Regulatory Arbitrage?

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

   Författare :Erik Boltenstål; Markus Falkman; [2015]
   Nyckelord :Basel II; model based approach; risk weights; capital requirements; credit ratings;

   Sammanfattning : The Basel II-accord aimed to strengthen the financial system by making the banks more solvent. The Internal Ratings Based-model was introduced to create a better connection between risk held and regulatory capital. LÄS MER