Sökning: "Interest Rate Hedging"

Visar resultat 11 - 15 av 47 uppsatser innehållade orden Interest Rate Hedging.

  1. 11. Pricing of Embedded Options: Implementing Stochastic Interest Rates & Stochastic Spread

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Jan Müller; [2022]
    Nyckelord :Option pricing; Callable bonds; Affine term structure models; Hull-White one-factor; Hull White two-factor; Trinomial trees; Short rate; Default intensity; Swaption volatilities; Black-76; Credit derivatives; Calibration; Optimisation.; Mathematics and Statistics;

    Sammanfattning : Given the current market climate, in an era of negative interest-rates, the Hull-White model has regained popularity in the eyes of investors. This thesis aims to extend this model to incorporate credit risk, to allow the modelling of credit derivatives such as diff swaps, defaultable corporate bonds and credit default swaps. LÄS MER

  3. 12. Swap Book Hedging using Stochastic Optimisation with Realistic Risk Factors

    Master-uppsats, Linköpings universitet/Produktionsekonomi

    Författare :Rickard Nordin; Emil Mårtensson; [2021]
    Nyckelord :Term structure measurement; optimization; hedging; swap portfolio; interest rate swaps; stochastic programming; FRA; IRS; dimension reduction; component analysis; component decomposition; signal separation;

    Sammanfattning : Market makers such as large banks are exposed to market risk in fixed income by acting as a counterparty for customers that enter swap contracts. This master thesis addresses the problem of creating a cost-effective hedge for a realistic swap book of a market maker in a multiple yield curve setting. LÄS MER

  4. 13. Ränteswappar i svenska fastighetsbolag : en kvalitativ studie som diskuterar hur användandet av ränteswappar ser ut idag bland svenska fastighetsbolag

    Kandidat-uppsats, KTH/Fastigheter och byggande

    Författare :Dino Hasic; Ajdin Pasic; [2021]
    Nyckelord :Financial instruments; real estate companies; interest rate derivatives; interest rate swaps; interest rate risk management; financing of real estate; Finansiella instrument; fastighetsbolag; räntederivat; ränteswap; ränteriskhantering; fastighetsfinansiering;

    Sammanfattning : Denna uppsats behandlar vilka faktorer som påverkar svenska fastighetsbolags syn på ränteswappar och huruvida coronapandemin, IFRS regelverket, den nya referensräntan Swestr eller bolagens rating har någon betydelse i detta. Studien undersöker vidare hur stor efterfrågan på räntederivat tidigare har varit, samt hur framtidsutsikterna ser ut gällande användandet av ränteswappar. LÄS MER

  5. 14. To Hedge or not to Hedge: An Empirical Analysis on the Determinants of Corporate Interest Rate Risk Management

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

    Författare :Victoria Beschorner; Julius Mehl; [2021]
    Nyckelord :Interest Rate Risk Management; Interest Rate Hedging; Interest Rate Derivatives; Cash Flow Hedging; Fair Value Hedging;

    Sammanfattning : Two theories explain why company size and leverage affect interest rate hedging: Economies of scale of derivatives usage and expected costs of financial distress. We test whether these determinants affect corporates in the decision to hedge interest rate risk with derivatives. LÄS MER

  7. 15. Sensitivity Matching Through Market Power: Bank Hedging in the Age of Low Interest Rates

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

    Författare :Edvin Landvik; Eric Ellsäter; [2020]
    Nyckelord :Maturity Transformation; Risk Exposure; Interest Rate Risk; Financial Crisis; Maturity Mismatch;

    Sammanfattning : We replicate the paper of Drechsler et al. (2017a) who find that banks are able to hedge against interest rate risk exposure through maturity transformation. Our results confirm their findings prior to the financial crisis that the interest sensitivities of income and expenses closely follow one another, resulting in an insensitive ROA. LÄS MER