Sökning: "Term-structure"

Visar resultat 1 - 5 av 55 uppsatser innehållade ordet Term-structure.

  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. Hur oförväntade makroekonomiska svängningar påverkar aktiemarknadens branschindex : En komparativ analys mellan Sverige, Danmark, Finland och Tyskland

    Kandidat-uppsats, Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

    Författare :Jennie Utterberg; Johanna Bååth; [2023]
    Nyckelord :Stock market; Stock return; Sector index; Macroeconomic variables; Unexpected risk factors; Time series analysis; APT model; Aktiemarknaden; Aktieavkastning; Branschindex; Makroekonomiska variabler; Oförväntade riskfaktorer; Tidsserieanalys; APT-modellen;

    Sammanfattning : Med bakgrund till det ökade intresset för aktier och dagens ekonomiska läge är det högst aktuellt att undersöka relationen mellan makroekonomiska svängningar och aktiepriserna på den svenska börsen. Det finns flera teorier som försöker förklara hur aktiepriser förändras, en allmän slutsats är att externa faktorer påverkar priset genom oförväntade händelser. LÄS MER

  4. 3. Modeling of Foreign Exchange Swap Distributions : A statistical evaluation of two stochastic models

    Master-uppsats, Linköpings universitet/Produktionsekonomi

    Författare :Ludvig Ehrenpreis; Eriksson Oscar; [2023]
    Nyckelord :term structure measurement; optimization; foreign exchange swaps; interest rates; FX; model comparison; FX swap models;

    Sammanfattning : The global foreign exchange (FX) market is one of the world's largest financial markets and a significant part of this market concerns the trading of FX swaps. For banks and other financial institutions, it is of great interest to model these swaps as accurately as possible, as this could improve their risk management. LÄS MER

  5. 4. Improving term structure measurements by incorporating steps in a multiple yield curve framework

    Master-uppsats, Linköpings universitet/Produktionsekonomi

    Författare :Gustav Villwock; Clara Rydholm; [2022]
    Nyckelord :Finance; Interest rates; Term structure measurement; Monte Carlo; Financial mathematics; Yield curve; Policy rates; Multiple yield curve framework; Stochastic programming; Risk factor modeling; Hedging; Performance attribution; Principle component analysis; GARCH; Maximum likelihood estimation; Copula;

    Sammanfattning : By issuing interest rate derivative contracts, market makers such as large banks are exposed to undesired risk. There are several methods for banks to hedge themselves against this type of risk; one such method is the stochastic programming model developed by Blomvall and Hagenbjörk (2022). LÄS MER

  7. 5. Probability of Default Term Structure Modeling : A Comparison Between Machine Learning and Markov Chains

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistik

    Författare :Hugo Englund; Viktor Mostberg; [2022]
    Nyckelord :Machine Learning; Deep Neural Networks; XGBoost; Probability of Default; Term Structure Modeling; IFRS 9; Maskininlärning; Djupa neuronnät; XGBoost; Fallisemangsrisk; Terminsstruktursmodellering; IFRS 9;

    Sammanfattning : During the recent years, numerous so-called Buy Now, Pay Later companies have emerged. A type of financial institution offering short term consumer credit contracts. As these institutions have gained popularity, their undertaken credit risk has increased vastly. Simultaneously, the IFRS 9 regulatory requirements must be complied with. LÄS MER