Sökning: "Interest Rate Derivative"

Visar resultat 1 - 5 av 22 uppsatser innehållade orden Interest Rate Derivative.

  1. 1. The use of derivatives in corporate risk management - A value adding strategy?

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

    Författare :Agnes Strignert; [2024]
    Nyckelord :Risk Management; Derivatives; Hedging; Modigliani-Miller; Porsche;

    Sammanfattning : Part I:This study highlights the role of active risk management of currency risk exposure within large listed non-financial European firms. In the aftermath of the global pandemic and invasion of Ukraine, many firm across the global has experienced challenges in terms of sustaining stable cash flows. LÄS MER

  3. 2. Do you want to swap? A study of the liquidity risk in the SEK interest rate swap market

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Viktor Edberg; Carl Hjelmqvist; [2023-06-29]
    Nyckelord :Bao; Pan; Wang indicator; Determinants; Dimensions of liquidity; Forward Rate Agreement; Fundamental Review of the Trading Book; Generalized least squares; Interest Rate Derivative; Interest Rate Swap; Liquidity horizon; Liquidity risk premium; Market liquidity; SVEN spread; Swap Spread; Swedish Government benchmark bond; Treasury-Eurodollar; Turnover ratio; Turnover-per-day; Volume-adjusted intraday volatility;

    Sammanfattning : Interest rate swaps are one of the world’s most essential interest rate derivatives. It is therefore important to understand the pricing of these agreements, and how the market is functioning. LÄS MER

  4. 3. Foreign Exchange Rate Derivatives and Firm Value

    Kandidat-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Love Kalms; Maja Sterner; Lisa Sterner; [2023]
    Nyckelord :derivative; hedging; exchange rate exposure; firm value; Tobin’s Q; Business and Economics;

    Sammanfattning : Using Tobin’s Q as an approximation of firm value, this paper aims to examine the effect of foreign exchange rate derivatives on firm value. Risk management is viewed by many as one of the most vital aspects of corporate- and business strategy. LÄS MER

  5. 4. Does hedging with derivatives create firm value?

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Albin Nilsson; August Beckman; [2023]
    Nyckelord :Corporate Risk Management; Hedging; Cash Holdings; Derivatives; Firm Value; Business and Economics;

    Sammanfattning : This paper studies the impact derivative hedging has on firm value and whether the relationship is affected by differences in cash holdings. We use hand-collected data for 171 Swedish firms from various industries during the period 2016-2021 to examine the relationship. LÄS MER

  7. 5. Improving term structure measurements by incorporating steps in a multiple yield curve framework

    Master-uppsats, Linköpings universitet/Produktionsekonomi

    Författare :Gustav Villwock; Clara Rydholm; [2022]
    Nyckelord :Finance; Interest rates; Term structure measurement; Monte Carlo; Financial mathematics; Yield curve; Policy rates; Multiple yield curve framework; Stochastic programming; Risk factor modeling; Hedging; Performance attribution; Principle component analysis; GARCH; Maximum likelihood estimation; Copula;

    Sammanfattning : By issuing interest rate derivative contracts, market makers such as large banks are exposed to undesired risk. There are several methods for banks to hedge themselves against this type of risk; one such method is the stochastic programming model developed by Blomvall and Hagenbjörk (2022). LÄS MER