Sökning: "yield curve spread"

Visar resultat 1 - 5 av 18 uppsatser innehållade orden yield curve spread.

  1. 1. Yield Curve Dynamics - Exploring Fundamental Factor Sensitivities

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

    Författare :Elvira Eriksson; Meike Wiesenfeller; [2023]
    Nyckelord :factor investing; global bonds; yield curve spread; macroeconomic fundamentals;

    Sammanfattning : Factor investing has gained popularity in recent decades, but while ample research has been conducted in asset classes such as equities and currencies, comparatively less attention has been devoted to the potential of investing in government bonds. This study explores fundamental factor sensitivities on the yield curve spread prior to and after 2018 making the last five years, that are coined by increased volatility in expected returns for government bonds, volatile growth developments, and heightened inflation, a true out-of-sample period to previous research. LÄS MER

  2. 2. Pricing of Embedded Options: Implementing Stochastic Interest Rates & Stochastic Spread

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Jan Müller; [2022]
    Nyckelord :Option pricing; Callable bonds; Affine term structure models; Hull-White one-factor; Hull White two-factor; Trinomial trees; Short rate; Default intensity; Swaption volatilities; Black-76; Credit derivatives; Calibration; Optimisation.; Mathematics and Statistics;

    Sammanfattning : Given the current market climate, in an era of negative interest-rates, the Hull-White model has regained popularity in the eyes of investors. This thesis aims to extend this model to incorporate credit risk, to allow the modelling of credit derivatives such as diff swaps, defaultable corporate bonds and credit default swaps. LÄS MER

  3. 3. Hedging of a foreign exchange swapbook using Stochastic programming

    Master-uppsats, Linköpings universitet/Produktionsekonomi

    Författare :Emma Bohlin; Jonatan Harling; [2021]
    Nyckelord :term structure measurement; optimization; hedging; foreign exchange swaps; interest rates; FX; stochastic programming;

    Sammanfattning : A large part of the foreign exchange market concerns the trading of FX swaps. While entering a position in a FX swap does not cost any money, banks earn money on FX swaps when their customers cross the bid/ask spread, creating a perceived transaction costs for the swaps. LÄS MER

  4. 4. Has Quantitative Easing Affected the Predictive Power of the Yield Curve? Evidence from Nine Advanced Economies

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Arvid Lodén; [2020]
    Nyckelord :Yield curve; Recession; Monetary policy; Quantitative Easing; Business and Economics;

    Sammanfattning : Since the global financial crisis in 2007-2008 several central banks around the world have introduced Quantitative Easing. Earlier literature has proven that this has caused significant downward pressure on yields in many economies. LÄS MER

  5. 5. Constructing the term structure of the U.S. corporate credit spread components - is there a relationship with the real economy?

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Författare :Diana Iovanel; [2020]
    Nyckelord :Macro-finance; Term structure; Level factor; Slope factor; Business cycles;

    Sammanfattning : This paper decomposes the credit spread of U.S. corporate bonds into a component driven by issuer default-risk and a component common to all bonds in the market. It then uses these components to develop a procedure for constructing their term structure. LÄS MER