Sökning: "risk neutral measure"

Visar resultat 1 - 5 av 16 uppsatser innehållade orden risk neutral measure.

  1. 1. Impact of Covid-19 on students' financial asset allocation: A Jönköping University study : Quantitative research study on students’ attending Jönköping University financial asset allocation prior and post Covid-19 with different risk attitudes.

    Magister-uppsats, Jönköping University/IHH, Företagsekonomi

    Författare :Axel Koch; [2023]
    Nyckelord :Financial asset allocation; Risk-averse; risk-neutral risk-preference; economic uncertainty; Market fluctuations; Expected utility theory.;

    Sammanfattning : Background: Since the emergence of Covid-19 has it reaped and created havoc within every segment of society on a national and global scale. The financial market experienced significant declines and losses but some asset items handled the fluctuations better than others. LÄS MER

  3. 2. Modelling Proxy Credit Cruves Using Recurrent Neural Networks

    Master-uppsats, KTH/Matematisk statistik

    Författare :Lucas Fageräng; Hugo Thoursie; [2023]
    Nyckelord :Deep Neural Networks; Credit Risk; Financial Modelling; LSTM; Credit Default Swaps; Credit Valuation Adjustment; Djupa Neurala Nätverk; Kreditrisk; Finansiell Modellering; LSTM; Kreditswappar; Kreditvärderingsjustering;

    Sammanfattning : 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. 3. Wastewater Treatment at Kraft Pulp Mills : Effect of temporary effluents and mitigation measures

    Uppsats för yrkesexamina på avancerad nivå, Luleå tekniska universitet/Institutionen för samhällsbyggnad och naturresurser

    Författare :Hodda Shariatmadari; [2023]
    Nyckelord :;

    Sammanfattning : Large amount of water is used in the pulp-and-paper industry. Consequently, large amount of wastewater is produced in the various production processes. In general, the pollutants of concern involve organic compounds, nutrients, including nitrogen and phosphorous, suspended solids, and chlorinated compounds. LÄS MER

  5. 4. Hållbar konsumtion i Skåne

    Kandidat-uppsats, Lunds universitet/Miljövetenskaplig utbildning

    Författare :Malin Nanhed; [2021]
    Nyckelord :global sustainability goals; negative; positive; interactions; sustainable consumption; sustainability goal 12; SDG 12; Agenda 2030; mapping tool; Sweden; Earth and Environmental Sciences;

    Sammanfattning : The pace of implementing the 17 global sustainability goals must increase drastically. The complexity of the goals is a challenge and mapping out interactions between them is identified as a way to explore their system properties and improve implementation. LÄS MER

  7. 5. On the Proxy Modelling of Risk-Neutral Default Probabilities

    Master-uppsats, KTH/Matematisk statistik

    Författare :Edvin Lundström; [2020]
    Nyckelord :Counterparty Credit Risk; Credit Valuation Adjustment; CVA; Credit modelling; Reduced form model; Proxy model; Hazard rate; Cross-section model; Nomura model; Motpartsrisk; Kreditvärderingsjustering; CVA; Kreditmodellering; Proxymodellering; Nomuramodellen;

    Sammanfattning : Since the default of Lehman Brothers in 2008, it has become increasingly important to measure, manage and price the default risk in financial derivatives. Default risk in financial derivatives is referred to as counterparty credit risk (CCR). The price of CCR is captured in Credit Valuation Adjustment (CVA). LÄS MER