Sökning: "Yield curve estimation models"

Visar resultat 1 - 5 av 6 uppsatser innehållade orden Yield curve estimation models.

1. 1. 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

3. 2. Hedging the Term Structure Risk of Carbon Allowance Derivatives : An Application of Stochastic Optimisation to EUA Market Making

   Master-uppsats, Linköpings universitet/Produktionsekonomi

   Författare :Nikolas Tsigkas; [2022]
   Nyckelord :Commodity Derivatives; Emissions Trading; Term Structure; Nonparametric Curve Estimation; Hedging; Stochastic Optimisation; Monte Carlosimulation; Market Microstructre; Systematic Risk Factors;

   Sammanfattning : The initiative by the EU to combat global warming through the introduction of a cap-and-trade system for greenhouse gas emissions in 2005, known as the EU Emissions Trading System (ETS), resulted in the inception of a new financial market. The right to emit one tonne of CO2-equivalents, as well as derivatives on this right, have become commodities, traded both through exchanges and over the counter. LÄS MER

4. 3. Risk Measurement and Performance Attribution for IRS Portfolios Using a Generalized Optimization Method for Term Structure Estimation

   Master-uppsats, Linköpings universitet/Produktionsekonomi

   Författare :Fredrik Gerdin Börjesson; Christoffer Eduards; [2021]
   Nyckelord :Interest rate measurement; term structures; multiple yield curves; principal component analysis; systematic risk; risk factors; term structure simulation; Latin hypercube sampling with dependence; risk measurement; value-at-risk; expected shortfall; interest rate swap; performance attribution;

   Sammanfattning : With the substantial size of the interest rate markets, the importance of accurate pricing, risk measurement and performance attribution can not be understated. However, the models used on the markets often have underlying issues with capturing the market's fundamental behavior. LÄS MER

5. 4. 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

7. 5. Accuracy in Swedish unsegmented and segmented rating curves : Accounting for measurement uncertainty and heteroscedasticity

   Uppsats för yrkesexamina på avancerad nivå, Uppsala universitet/Institutionen för geovetenskaper

   Författare :Mattias Sörengård; [2016]
   Nyckelord :Rating curve; Non-linear-regression; Projection variable method; river discharge; gauging station; stage; uncertainty; validation; Overparametrization; overfit; hydrology;

   Sammanfattning : River discharge estimation is the basic hydrological information for most hydrological applications in various socioeconomic planning. Increasing the accuracy of the traditional rating curve in relation to river discharge estimation would be very valuable to hydrological applications. LÄS MER