Sökning: "sek Swap rate"

Visar resultat 1 - 5 av 6 uppsatser innehållade orden sek Swap rate.

1. 1. Do you want to swap? A study of the liquidity risk in the SEK interest rate swap market

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Viktor Edberg; Carl Hjelmqvist; [2023-06-29]
   Nyckelord :Bao; Pan; Wang indicator; Determinants; Dimensions of liquidity; Forward Rate Agreement; Fundamental Review of the Trading Book; Generalized least squares; Interest Rate Derivative; Interest Rate Swap; Liquidity horizon; Liquidity risk premium; Market liquidity; SVEN spread; Swap Spread; Swedish Government benchmark bond; Treasury-Eurodollar; Turnover ratio; Turnover-per-day; Volume-adjusted intraday volatility;

   Sammanfattning : Interest rate swaps are one of the world’s most essential interest rate derivatives. It is therefore important to understand the pricing of these agreements, and how the market is functioning. LÄS MER

3. 2. 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

4. 3. A study of the determinant factors of the Swedish interest rate swap spread

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Författare :Christina Hu; [2019]
   Nyckelord :Interest rate swap contracts; SEK swap spread; slope of the yield curve; credit spread; treasury supply;

   Sammanfattning : This study aims to find the driving determinant factors of the Swedish swap spread by identifying the potential determinants based on previous theoretical and empirical studies. The determinant factors studied in this paper are the slope of the yield curve, volatility, the credit spread, the treasury supply, the business cycle, and the Euro spread. LÄS MER

5. 4. An Evaluation of Swedish Municipal Borrowing via Nikkei-linked Loans

   Master-uppsats, Linköpings universitet/Produktionsekonomi

   Författare :Robert Constantin; Denis Gerzic; [2018]
   Nyckelord :Municipal borrowing; Nikkei-linked loans; Multi-curve framework; Discounting curves; Forward curves; CVA; Monte Carlo simulation; Structured bond; Black and Scholes PDE; Structured swap;

   Sammanfattning : In this master thesis, we compare three different types of funding alternatives from a Swedish municipality's point of view, with the main focus on analysing a Nikkei-linked loan. We do this by analysing the resulting interest rate and the expected exposures, taking collateral into consideration. LÄS MER

7. 5. Implications of Multiple Curve Construction in the Swedish Swap Market

   Master-uppsats, KTH/Entreprenörskap och Innovation

   Författare :Erik Lidholm; Benjamin Nudel; [2014]
   Nyckelord :collateral; cross currency; discount curve; forward curve; forward starting; off-market; swap; Stibor; collateral; cross currency; diskonteringskurva; forwardkurva; forward starting; off-market; swap; Stibor;

   Sammanfattning : The global financial crisis of 2007 caused abrupt changes in the financial markets. Interest rates that were known to follow each other diverged. Furthermore, both regulation and an increased awareness of counterparty credit risks have fuelled a growth of collateralised contracts. LÄS MER