Sökning: "Nelson-Siegel"

Visar resultat 1 - 5 av 14 uppsatser innehållade ordet Nelson-Siegel.

  1. 1. Are European Green Bond Yields Lower Than the Yields of Their Conventional Counterparts?

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Caroline Lundberg; Olle Enelund; [2023-06-29]
    Nyckelord :Green bonds; Greenium; Sustainable investment; Principal Component Analysis PCA ; Nelson-Siegel NS ;

    Sammanfattning : In this paper, we contribute to the growing literature on sustainable finance by investigating whether European green bonds provide a lower issue yield compared to their conventional counterparts, i.e. if there exists a greenium in the primary market. LÄS MER

  3. 2. Modeling Interest Rate Risk in the Banking Book

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Måns Ulmgren; [2022]
    Nyckelord :applied mathematics; IRRBB; Nelson Siegel; yield curve; tillämpad matematik; IRRBB; Nelson Siegel; avkastningskurva;

    Sammanfattning : For a long time, being able to model and mitigate financial risk has been a key success factor for institutions. Apart from an internal incentive, legal and regulatory requirements continue to develop which increases the need for extensive internal risk control. LÄS MER

  4. 3. Zero Coupon Yield Curve Construction Methods in the European Markets

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Andreas Möller; [2022]
    Nyckelord :Zero coupon; Yield curve construction; Forward monotone convex spline; Cubic spline; Nelson Siegel; Nelson Siegel Svensson; Hedge; Interpolation; Parameterization; Evaluation; Principal component; Nollkupong; Yieldkurva; Forward monotone convex spline; Kubisk spline; Nelson Siegel; Nelson Siegel Svensson; Interpolering; Parameterisering; Utvärdering; Principalkomponent; Hedge;

    Sammanfattning : In this study, four frequently used yield curve construction methods are evaulated on a set of metrics with the aim of determining which method is the most suitable for estimating yield curves from European zero rates. The included curve construction methods are Nelson-Siegel, Nelson-Siegel-Svensson, cubic spline interpolation and forward monotone convex spline interpolation. LÄS MER

  5. 4. Factor Models For The Term Structure Of STIBOR Rates

    Kandidat-uppsats, Lunds universitet/Matematisk statistik

    Författare :Jonatan Persson; [2021]
    Nyckelord :Interest rates; Time series; State space models; Mathematics and Statistics;

    Sammanfattning : The yield curve of a collection of debt contracts describes the yield of the debt contract as a function of the length-to-maturity of the contract. It turns out that these yield curves provide useful insight about the economy as a whole and can, for example, be used to predict short-term economic downturns. LÄS MER

  7. 5. Yield curve estimation models with real market data implementation and performance observation

    Master-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Författare :Penny Peng Cheng Andersson; [2020]
    Nyckelord :Yield curve; Yield curve estimation models; Boostrapping; Smith Wilson; Nelson Siegel; the extended Nelson Siegel;

    Sammanfattning : It always exists different methods/models to build a yield curve from a set of observed market rates even when the curve completely reproduces the price of the given instruments. To create an accurate and smooth interest rate curve has been a challenging all the time. LÄS MER