Sökning: "swap spread"

Visar resultat 1 - 5 av 50 uppsatser innehållade orden swap spread.

  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. Modeling Credit Default Swap Spreads with Transformers : A Thesis in collaboration with Handelsbanken

    Master-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Författare :Johan Luhr; [2023]
    Nyckelord :Machine Learning; Transformer; Finance; Credit Default Swap; Credit Valuation Adjustment; Time Series Data; Maskininlärning; Transformer; Finance; Kreditswapp; Kredit Värderings Justering; Tidsserie data;

    Sammanfattning : In the aftermath of the credit crisis in 2007, the importance of Credit Valuation Adjustment (CVA) rose in the Over The Counter (OTC) derivative pricing process. One important part of the pricing process is to determine Probability of Defaults (PDs) of the counterparty in question. LÄS MER

  4. 3. The Yield Gap : A comprehensive study of the yield spread between prime office yields and five-year swap rates in some of Europe’s most prominent commercial real estate markets

    Master-uppsats, KTH/Fastighetsekonomi och finans

    Författare :Miranda Jenkins; [2023]
    Nyckelord :Commercial Real Estate; Property; Five-Year Swap Rate; Prime Office Yield; Financing Costs; Kommersiella fastigheter; femårig swapränta; Prime Kontorsyield; finansieringskostnader;

    Sammanfattning : Global economies are currently in a tumultuous time with high economic distress, inflation, and volatile interest rate markets. Alongside the increased interest rate climate, yield returns throughout property sectors adjust to compensate for the increased risk. LÄS MER

  5. 4. Investing in Emerging Markets: Environmental Performance and its Effect on Risk Profile

    Kandidat-uppsats, Lunds universitet/Ekonomisk-historiska institutionen

    Författare :Felicity Jaarnek; [2023]
    Nyckelord :CDS spread; sovereign debt; ESG; environment; emerging economies; Business and Economics;

    Sammanfattning : Debt has gained paramount importance for policy makers, stakeholders, and investors due to its far-reaching implications on economic stability, growth prospects, and financial resilience. Meanwhile, environmental conditions are increasing in importance when assessing credit risk. LÄS MER

  7. 5. A Correlation Study on the Relationship between Credit Default Swap (CDS) Spreads and ESG Sentiment in the Banking Sector

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Mattias Olsson; Shabier Stanakzai; [2023]
    Nyckelord :ESG; Sentiment; CDS spreads.; Business and Economics;

    Sammanfattning : This study examines the influence of online ESG sentiment on credit market price movement in the banking sector. By employing a panel regression model with fixed effect for firms and time, the study’s findings indicate an inverse relationship between online ESG sentiment and CDS spread in accordance, to some extent, with previous literature. LÄS MER