Essays about: "Gabriella Hulström"
Found 1 essay containing the words Gabriella Hulström.
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1. Consistent Projection of the Balance Sheet : A Holistic Approach to Modelling Interest Rate Risk in the Banking Book
University essay from KTH/Matematik (Avd.)Abstract : When modelling risk in the banking book, a simple capital level approach can fail to capture the interactions between different risk measures or risk classes since they are modelled separately. In this thesis we propose a model for projecting the book value of a run-off balance sheet portfolio of fixed and variable rate loans, while also calculating net interest income, economic value of equity, capital requirement and capital cost within the same model. READ MORE
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