Sökning: "Macroeconomic Simulation"

Visar resultat 1 - 5 av 8 uppsatser innehållade orden Macroeconomic Simulation.

  1. 1. Portfolio Risk Modelling in Venture Debt

    Master-uppsats, KTH/Matematisk statistik

    Författare :John Eriksson; Jacob Holmberg; [2023]
    Nyckelord :Startup Default Probability; Venture Debt; Gaussian Copula; Value-at-Risk; Expected Shortfall; Exposure at Default; Loss Given Default; Forecast; Linear Dynamic System; ARIMA Time Series; Monte Carlo Simulation; Linear Regression; Central Limit Theorem;

    Sammanfattning : This thesis project is an experimental study on how to approach quantitative portfolio credit risk modelling in Venture Debt portfolios. Facing a lack of applicable default data from ArK and publicly available sets, as well as seeking to capture companies that fail to service debt obligations before defaulting per se, we present an approach to risk modeling based on trends in revenue. LÄS MER

  3. 2. Smooth Transitions in Factor Augmented Models: Simulations and Applications in Macroeconomics

    Master-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Ingrid Mattsson; [2017]
    Nyckelord :smooth transitions; STAR; factor models; regime switching; macroeconomics; forecasting;

    Sammanfattning : This paper is concerned with two important topics in macroeconomic research – structural instability and handling of large amount of data. The regime switching behavior of the data generating process is accounted for by using a smooth transition model. LÄS MER

  4. 3. Demand Deposits : Valuation and Interest Rate Risk Management

    Master-uppsats, KTH/Entreprenörskap och Innovation

    Författare :Yang Lu; Kevin Visvanathar; [2015]
    Nyckelord :demand deposits; interest rate risk; market interest rate; stochastic simulation; avistakonton; ranterisk; marknadsranta; stokastisk simulering; nuvarde; replikerande;

    Sammanfattning : In the aftermath of the financial crisis of 2008, regulatory authorities have implemented stricter policies to ensure more prudent risk management practices among banks. Despite the growing importance of demand deposits for banks, no policies for how to adequately account for the inherent interest rate risk have been introduced. LÄS MER

  5. 4. Relationship between Currency Carry Trades and Gold Returns : A quantitative study of G-10 currencies: correlation and spillover effects for the last two decades.

    Master-uppsats, Umeå universitet/Företagsekonomi

    Författare :Johannes Hornbrinck; Jonas Olausson; [2014]
    Nyckelord :Gold; Currency Carry Trades; Carry Trades; Portfolio choice; Sweden; Gold Hege; Gold diversifier; Gold safe-haven; UIP; Relationship;

    Sammanfattning : Currency carry trade is an investment strategy that recently started gaining a lot of interest not only among investors and financial institutions but also academically. One of the underlying theoretical assumptions regarding the mechanisms of the foreign exchange market, the Uncovered Interest Parity has frequently been disproved in practice which has led to the conclusion that carry trade is profitable in practice. LÄS MER

  7. 5. MONEY SUPPLY AND STOCK PRICES

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Ola Knut Eric Lithman; [2012]
    Nyckelord :Money supply; Quantitative Easing; Stock Market; Macroeconomic Variables; Simulation; Probit; Bootstrap; Business and Economics;

    Sammanfattning : This thesis deals with money supply and stock prices. Specifically it inquires what macroeconomic factors influences the stock market index. Given the high degree of equity correlation in the market, variables previously used for explaining the cross-section of expected returns are tested against the S&P500 index. LÄS MER