Sökning: "ränterisk"

Visar resultat 6 - 10 av 19 uppsatser innehållade ordet ränterisk.

  1. 6. Analys av kredit- och ränterisk över konjunkturcykler - En studie av amerikanska företagsobligationer

    Kandidat-uppsats,

    Författare :Simon Boström; Emil Johansson; [2019-07-09]
    Nyckelord :US Corporate bonds; Credit spread; Credit rating; Volatility; Contingent claims pricing model;

    Sammanfattning : In recent years, the market for US corporate bonds has recovered from the financial crisis in 2008. Since the credit spread is of great importance to many stakeholders, this thesis has been written with the purpose to examining the underlying factors that affect the credit spread for US corporate bonds. LÄS MER

  3. 7. Obligationens risker : En studie om kreditrisk, likviditetsrisk och ränterisk för företagsobligationer på den svenska marknaden

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Företagsekonomi

    Författare :Melker Ekman; Andreas Tibell; [2019]
    Nyckelord :bid-ask-spread; yieldspread; liquidity risk; credit risk; interest rate risk; obligation; obligationer; obligationens risker; kreditspread; ränterisk; kreditrisk; likviditetsrisk; riskpremie; duration; finans; företagsobligation; statsobligation; riskvariabel; fond; värdepapper;

    Sammanfattning : När en företagsobligation och en statsobligation har samma löptid och har en skillnad i avkastning, så kallas denna skillnad för kreditspread. Ett känt koncept inom finansvärlden är att risk har en stark koppling till avkastning. LÄS MER

  4. 8. On the risk relation between Economic Value of Equity and Net Interest Income

    Master-uppsats, KTH/Matematisk statistik

    Författare :André Berglund; Carl Svensson; [2017]
    Nyckelord :;

    Sammanfattning : The Basel Committee has proposed a new Pillar 2 regulatory framework for evaluating the interest rate risk of a bank's banking book appropriately called Interest Rate Risk in the Banking Book. The framework requires a bank to use and report two different interest rate risk measures: Economic Value of Equity (EVE) risk and Net Interest Income (NII) risk. LÄS MER

  5. 9. A framework for modeling the liquidity and interest rate risk of demand deposits

    Master-uppsats, KTH/Matematisk statistik

    Författare :Peter Henningsson; Christina Skoglund; [2016]
    Nyckelord :Non-maturing liabilities; Liquidity risk; Interest rate risk; Vasicek short rate model; Deposit volume modeling; Deposit rate modeling; Valuation of demand deposits;

    Sammanfattning : The objective of this report is to carry out a pre-study and develop a framework for how the liquidity and interest rate risk of a bank's demand deposits can be modeled. This is done by first calibrating a Vasicek short rate model and then deriving models for the bank's deposit volume and deposit rate using multiple regression. LÄS MER

  7. 10. Solvency Capital Requirement (SCR) for Market Risks : A quantitative assessment of the Standard formula and its adequacy for a Swedish insurance company

    Kandidat-uppsats, KTH/Matematisk statistik

    Författare :Björn Widing; [2016]
    Nyckelord :Solvency II; Standard formula; Solvency Capital Requirement; Value at Risk; Principal Component Analysis; Cornish Fisher expansion; Solvens II; Standardformeln; Kapitalbaskrav; Value at Risk; Principalkomponents analys; Cornish Fisher expansion;

    Sammanfattning : The purpose of this project is to validate the adequacy of the Standard formula, used to calculate the Solvency Capital Requirement (SCR), with respect to a Swedish insurance company. The sub-modules evaluated are Equity risk (type 1) and Interest rate risk. The validation uses a quantitative assessment and the concept of Value at Risk (VaR). LÄS MER