Essays about: "Multiple yield curve framework"
Found 4 essays containing the words Multiple yield curve framework.
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1. Improving term structure measurements by incorporating steps in a multiple yield curve framework
University essay from Linköpings universitet/ProduktionsekonomiAbstract : By issuing interest rate derivative contracts, market makers such as large banks are exposed to undesired risk. There are several methods for banks to hedge themselves against this type of risk; one such method is the stochastic programming model developed by Blomvall and Hagenbjörk (2022). READ MORE
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2. Risk Measurement and Performance Attribution for IRS Portfolios Using a Generalized Optimization Method for Term Structure Estimation
University essay from Linköpings universitet/ProduktionsekonomiAbstract : With the substantial size of the interest rate markets, the importance of accurate pricing, risk measurement and performance attribution can not be understated. However, the models used on the markets often have underlying issues with capturing the market's fundamental behavior. READ MORE
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3. Hedging of a foreign exchange swapbook using Stochastic programming
University essay from Linköpings universitet/ProduktionsekonomiAbstract : 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. READ MORE
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4. The Yield Spread and Inflation as Leading Indicators of Future Economic Activity - The Case of Sweden
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : The aim of this paper is to examine the abilities of the yield curve and inflation in terms of predicting future real growth in the case of Sweden. Methodology: The methodology is a quantitative study using the single and multiple regression model based on econometric theory. READ MORE