Sökning: "Rickard Nordin"

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  1. 1. 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