Sökning: "Foreign debt portfolio"

Hittade 4 uppsatser innehållade orden Foreign debt portfolio.

  1. 1. 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

  3. 2. Undersökning av simuleringsmodell för utvärdering av olika portföljstrategier inom skuldförvaltning

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

    Författare :Love Eklund; [2020]
    Nyckelord :;

    Sammanfattning : How a country should borrow money is no easy question to answer as there are many different variables in play that affects a debt managers decision. One way to make the decision easier is to use a model that can quantify the risk and costs to let the debt manager choose a strategy that will minimize cost at certain risk level. LÄS MER

  4. 3. Efficiency of Foreign Debt Portfolio Management in Emerging Economies

    Kandidat-uppsats, Högskolan i Jönköping/IHH, Economics, Finance and Statistics

    Författare :Sapto Adinugrahan; Mochamad Ridwan; [2015]
    Nyckelord :Public debt management; Foreign debt portfolio; Exchange rate exposure; Emerging economies; Currency composition;

    Sammanfattning : Fluctuation of exchange rate has affected the increasing burden of foreign debt payment in emerging economies. This issue has negatively influenced the economic growth. It has been a severe obstacle considering that governments have to issue public debt denominated in foreign currency to finance the budget deficit. LÄS MER

  5. 4. Exchange Rate Exposure & The Stock Market: A Swedish Study 2001- 2005

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

    Författare :Lilian Nilsson; Lovisa Forslöf; [2007]
    Nyckelord :Exchange Rate Exposure; Sweden; Time Series Regression;

    Sammanfattning : This thesis aims to test the co-variation between stock performance and exchange rate fluctuations in Sweden, by running times series regressions on 172, non-financial, firms quoted on the Stockholm Stock Exchange (OMX) from 2001 to 2005. From this sample, 13 portfolios are constructed aimed to test for a possible pattern between firm characteristics and exposure. LÄS MER