Essays about: "Kristofer Engman"

Found 2 essays containing the words Kristofer Engman.

  1. 1. Bidding models for bond market auctions

    University essay from KTH/Matematisk statistik

    Author : Kristofer Engman; [2019]
    Keywords : Auction; winner s curse; request for quote; RFQ; statistics; applied mathematics; financial mathematics; bond; e-auction; fixed income; skew exponential power; mifid II; pricing; Budgivning; winner s curse; request for quote; RFQ; statistik; tillämpad matematik; finansiell matematik; obligation; e-auktion; fixed income; skew exponential power; mifid II; prissättning;

    Abstract : In this study, we explore models for optimal bidding in auctions on the bond market using data gathered from the Bloomberg Fixed Income Trading platform and MIFID II reporting. We define models that aim to fulfill two purposes. The first is to hit the best competitor price, such that a dealer can win the trade with the lowest possible margin. READ MORE

  3. 2. Exploring the Factors of the Credit Default Swap Spread in Different Business Sectors

    University essay from KTH/Matematisk statistik

    Author : Kristofer Engman; Betty Ålander; [2017]
    Keywords : ;

    Abstract : In this study, we investigate the effect of market factors on credit default swap spreads aggregated by specific business sectors. The market factors include commodity spot prices, foreign exchange spot prices, equity index prices and interest swap rates. READ MORE