Sökning: "short-rate interest rate"

Visar resultat 1 - 5 av 15 uppsatser innehållade orden short-rate interest rate.

  1. 1. Modelling the Exchange Rate: Evidence from the Impacts of Quantitative Easing in Sweden

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Författare :Anny Eklund; Markus Sallkvist; [2024]
    Nyckelord :Quantitative easing; Exchange rate; Bayesian VAR model; Small open economy; Triangular factorisation;

    Sammanfattning : Quantitative easing, the unconventional monetary policy measure used by many central banks to combat low inflation when interest rates are at the lower bound, has shown to be an effective tool for depreciating the domestic currency. Although the exchange rate is of particular importance in a small open economy as it directly impacts inflation dynamics,trade competitiveness and plays a substantial role in shaping monetary policy, few papers have investigated how the depreciating effect of QE to the exchange rate works. LÄS MER

  3. 2. An Attempt at Pricing Zero-Coupon Bonds under the Vasicek Model with a Mean Reverting Stochastic Volatility Factor

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Benjamin Neander; Victor Mattson; [2023]
    Nyckelord :Zero-coupon bond; Vasicek model; Two-factor interest rate model; Stochastic volatility.; Nollkupongobligation; Vasicek model; Räntemodell med två faktorer; Stokastisk volatilitet.;

    Sammanfattning : Empirical evidence indicates that the volatility in asset prices is not constant, but varies over time. However, many simple models for asset pricing rest on an assumption of constancy. LÄS MER

  4. 3. Modelling Non-Maturing Deposits: Examining the Impact of Repo Rates and Volume Dynamics on Valuation Using Regression, Time Series Analysis, and Vasicek Methods

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Alexandra Benckert; My Loft; [2023]
    Nyckelord :Non-maturing deposits; ARIMAX model; Regression analysis; Deposit volume modelling; Vasicek model for short rate; Interest rate sensitivity; Valuation of non-maturing deposits.; Icke tidsbunden inlåning; ARIMAX-modellen; Regressionsanalys; Modellering av inlåningsvolym; Vasicek-modellen för kort ränta; Räntekänslighet; Värdering av icke tidsbunden inlåning.;

    Sammanfattning : This thesis focuses on modelling non-maturing deposits (NMD) and has been written in collaboration with Svenska Handelsbanken. The methodology includes regression analysis and time series analysis, with the Repo rate serving as an exogenous variable in both models. LÄS MER

  5. 4. Stokastisk modellering och prognosticering inom livförsäkring : En dödlighetsundersökning på Länsförsäkringar Livs bestånd

    Master-uppsats, Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakulteten

    Författare :Henrik Andersson; Robin Bakke Cato; [2023]
    Nyckelord :Mortality Lee-Carter Makeham Gompertz Hull-White Short-rate Model Feller; Dödlighet dödlighetsundersökning Lee-Carter korträntemodeller Hull-White Makeham dödlighetsintensitet DUS Svensk Försäkring Feller;

    Sammanfattning : Studier av livslängder och dödssannolikheter är avgörande för livförsäkring. Betalningar gällande livförsäkringar är helt beroende av om en individ lever eller ej, eller befinner sig i olika hälsotillstånd. LÄS MER

  7. 5. Modeling Interest Rate Risk in the Banking Book

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Måns Ulmgren; [2022]
    Nyckelord :applied mathematics; IRRBB; Nelson Siegel; yield curve; tillämpad matematik; IRRBB; Nelson Siegel; avkastningskurva;

    Sammanfattning : For a long time, being able to model and mitigate financial risk has been a key success factor for institutions. Apart from an internal incentive, legal and regulatory requirements continue to develop which increases the need for extensive internal risk control. LÄS MER