Sökning: "Mortgage spread"

Visar resultat 1 - 5 av 14 uppsatser innehållade orden Mortgage spread.

  1. 1. 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. 2. Villamarknaden under 2020

    Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Författare :Hanna Bräcknell; David Strandqvist; [2021-07-02]
    Nyckelord :Housing market; Sweden; Covid-19;

    Sammanfattning : This paper seeks to explore how the persistent health shock that is covid-19 impacted people’s everyday life as it pertains to short-term consumption and priorities. This is conducted by studying how the housing market in Sweden was affected by the crisis during 2020, more particularly how the house prices were affected in selected municipalities in the metropolitan regions and a region from the north. LÄS MER

  4. 3. Housing Finance and the Transmission of Mortgage Spread Shocks

    Master-uppsats, Uppsala universitet/Nationalekonomiska institutionen

    Författare :Denise Hansson; [2020]
    Nyckelord :Mortgage spread; credit supply; housing demand; monetary policy; business cycle;

    Sammanfattning : Credit market frictions, captured by mortgage spreads, are potentially an equally important driver behind mortgage rate innovations as monetary policy. Possibly a significant driver of business cycles. Yet, the effect of such shocks on the economy has barely received any attention in empirical research. LÄS MER

  5. 4. Modelling Swedish bond market activity : A liquidity proxy using potential and executed trades

    Master-uppsats, KTH/Industriell ekonomi och organisation (Inst.)

    Författare :Therese Lin; [2020]
    Nyckelord :Government bonds; Mortgage bonds; Swedish bond market; Liquidity proxy; Investor activity; Potential trading; Svenska obligationsmarknaden; Likviditet; Aktivitet; Potentiell handel;

    Sammanfattning : Bond markets are crucial for the stability and efficiency of the national financial system. Low liquidity prevents market developments and makes investors reluctant to trade actively. It is therefore crucial to maintain liquidity in bond markets. LÄS MER

  7. 5. An Empirical Study on the Reversal Interest Rate

    Master-uppsats, KTH/Matematisk statistik

    Författare :Pontus Berglund; Daniel Kamangar; [2020]
    Nyckelord :reversal interest rate; effective lower bound; negative interest rates; monetary policy transmission; interest rate pass-through; bank lending;

    Sammanfattning : Previous research suggests that a policy interest rate cut below the reversal interest rate reverses the intended effect of monetary policy and becomes contractionary for lending. This paper is an empirical investigation into whether the reversal interest rate was breached in the Swedish negative interest rate environment between February 2015 and July 2016. LÄS MER