Sökning: "Proxy model"
Visar resultat 1 - 5 av 227 uppsatser innehållade orden Proxy model.
1. ESG Performance and Probability of Default
C-uppsats, Handelshögskolan i Stockholm/Institutionen för redovisning och finansieringSammanfattning : This study aims to investigate how firms' ESG performance affects their probability of default for Nordic listed firms. Based on stakeholder theory as well as findings from previous literature, we hypothesise that this relationship is negative as our main hypothesis. LÄS MER
2. The Greenfee of Beta - Unraveling the Impact of Sustainability on Systematic Risk
Kandidat-uppsats,Sammanfattning : This paper unravels the impact of sustainability on systematic risk. Literature suggests that enhanced sustainability reduces companies' systematic risk, thanks to e.g. product differentiation, a broader spectrum of investors holding the assets, or simply because there exists a specific ESG factor. LÄS MER
3. Modelling Proxy Credit Cruves Using Recurrent Neural Networks
Master-uppsats, KTH/Matematisk statistikSammanfattning : Since the global financial crisis of 2008, regulatory bodies worldwide have implementedincreasingly stringent requirements for measuring and pricing default risk in financialderivatives. Counterparty Credit Risk (CCR) serves as the measure for default risk infinancial derivatives, and Credit Valuation Adjustment (CVA) is the pricing method used toincorporate this default risk into derivatives prices. LÄS MER
4. Volatility Modelling in the Swedish and US Fixed Income Market : A comparative study of GARCH, ARCH, E-GARCH and GJR-GARCH Models on Government Bonds
Kandidat-uppsats, Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakultetenSammanfattning : Volatility is an important variable in financial markets, risk management and making investment decisions. Different volatility models are beneficial tools to use when predicting future volatility. The purpose of this study is to compare the accuracy of various volatility models, including ARCH, GARCH and extensions of the GARCH framework. LÄS MER
5. Payment Method and Public Acquiror Returns: Evidence from the U.S. Market for Corporate Control
C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : This thesis examines the relationship between method of payment, financial stress, and acquiror abnormal returns using a sample of 676 acquisitions by NYSE, NYSE American, and Nasdaq listed non-financial, non-utility firms. In normal market conditions the results are generally consistent with previous findings, with stock acquisitions of private targets generating the highest abnormal returns. LÄS MER