Essays about: "Liquidity Horizon"
Showing result 1 - 5 of 13 essays containing the words Liquidity Horizon.
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1. Do you want to swap? A study of the liquidity risk in the SEK interest rate swap market
University essay from Göteborgs universitet/Graduate SchoolAbstract : 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. READ MORE
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2. A Framework to Model Bond Liquidity
University essay from KTH/Matematik (Avd.)Abstract : The liquidity of financial assets can be studied in various different ways. In this thesis, liquidity is defined as the cost and time required to liquidate a position. READ MORE
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3. Decision-making In Mutual Funds During the COVID-19 Pandemic
University essay from KTH/Industriell ekonomi och organisation (Inst.)Abstract : During the beginning of 2020, the world was struck by the vicious virus COVID19, forcing societies into lockdown. Demand froze across the board and this was quickly reflected on stockmarkets worldwide. The Swedish stock market index, OMXS30, plummeted around 30% in a matter of weeks. READ MORE
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4. Bonds Portfolio liquidity risk under stress
University essay from Lunds universitet/Matematisk statistikAbstract : Abstract The focus of this thesis is to study and model the capacity of the bank to trade on the bonds market under normal and stressed conditions. This capacity is related to the liquidity of bonds market (ie, the ability to trade) and bank’s trading desks capacity to trade. READ MORE
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5. Comparing the Liquidity-Adjusted Expected Shortfall Models Over High and Low Liquid Stocks Portfolios: Empirical Results on Thailand Stock Market
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : The stylized fact that stock markets are not perfectly liquid propels banks to incorporate liquidity risk in the risk metrics so that market risk can be managed properly. Disregarding liquidity risk can lead to an underestimation of overall risk and substantial losses. READ MORE