Sökning: "Finansiella Derivat"

Visar resultat 11 - 15 av 42 uppsatser innehållade orden Finansiella Derivat.

  1. 11. Reverse Stress Testing Genom Matematisk Optimering

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistik

    Författare :Jimmy Jin; Elias Svedberg; [2020]
    Nyckelord :;

    Sammanfattning : Historisk sett, har det på den finansiella marknaden skett många olika händelser som skapat finansiella kriser. För att motverka detta har det under senare tid ställts högre och högre krav från tillsynsmyndigheter på finansiella institut som exempelvis banker, när det kommer till dess riskhantering. LÄS MER

  3. 12. Debt Portfolio Optimization at the Swedish National Debt Office: : A Monte Carlo Simulation Model

    Kandidat-uppsats, KTH/Matematisk statistik

    Författare :Felix Greberg; [2020]
    Nyckelord :Public Debt Management; Financial Mathematics; Portfolio Optimization; Ornstein–Uhlenbeck; Vector Autoregression; Term Structure Evolution; Nelson-Siegel; R; Monte Carlo simulation; Skuldförvaltning; Finansiell matematik; Portföljoptimering; Ornstein–Uhlenbeck; Vector autoregression; Ränteutvecklingsmodeller; Nelson-Siegel; R; Monte Carlo-simulering;

    Sammanfattning : It can be difficult for a sovereign debt manager to see the implications on expected costs and risk of a specific debt management strategy, a simulation model can therefore be a valuable tool. This study investigates how future economic data such as yield curves, foreign exchange rates and CPI can be simulated and how a portfolio optimization model can be used for a sovereign debt office that mainly uses financial derivatives to alter its strategy. LÄS MER

  4. 13. On the Proxy Modelling of Risk-Neutral Default Probabilities

    Master-uppsats, KTH/Matematisk statistik

    Författare :Edvin Lundström; [2020]
    Nyckelord :Counterparty Credit Risk; Credit Valuation Adjustment; CVA; Credit modelling; Reduced form model; Proxy model; Hazard rate; Cross-section model; Nomura model; Motpartsrisk; Kreditvärderingsjustering; CVA; Kreditmodellering; Proxymodellering; Nomuramodellen;

    Sammanfattning : Since the default of Lehman Brothers in 2008, it has become increasingly important to measure, manage and price the default risk in financial derivatives. Default risk in financial derivatives is referred to as counterparty credit risk (CCR). The price of CCR is captured in Credit Valuation Adjustment (CVA). LÄS MER

  5. 14. Farväl till Libor

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Felicia Eklund; [2019]
    Nyckelord :LIBOR; referensräntor; ARR; övergång; overnight; Business and Economics;

    Sammanfattning : After the financial crisis in 2008 and the Libor scandal 2012 today’s reference rates have been questioned and debated. This has led to the ongoing work around the world; replacing the traditional IBOR’s with new, transaction-based reference rates. LÄS MER

  7. 15. Estimation of early termination of financial derivatives

    Master-uppsats, KTH/Matematisk statistik

    Författare :Marcus Pousette; Jim Domeij; [2019]
    Nyckelord :Survival analysis; Neural network; Applied mathematics; Överlevnadsanalys; Neurala nätverk; tillämpad matematik;

    Sammanfattning : In terms of pricing financial derivatives, contractual length plays a important role in pricing risk. A contract with long duration will have more associated risk in comparison with a contract with low duration, everything else equal. LÄS MER