Essays about: "Nelson Siegel Svensson"

Found 4 essays containing the words Nelson Siegel Svensson.

1. 1. Zero Coupon Yield Curve Construction Methods in the European Markets

   University essay from KTH/Matematik (Avd.)

   Author : Andreas Möller; [2022]
   Keywords : Zero coupon; Yield curve construction; Forward monotone convex spline; Cubic spline; Nelson Siegel; Nelson Siegel Svensson; Hedge; Interpolation; Parameterization; Evaluation; Principal component; Nollkupong; Yieldkurva; Forward monotone convex spline; Kubisk spline; Nelson Siegel; Nelson Siegel Svensson; Interpolering; Parameterisering; Utvärdering; Principalkomponent; Hedge;

   Abstract : In this study, four frequently used yield curve construction methods are evaulated on a set of metrics with the aim of determining which method is the most suitable for estimating yield curves from European zero rates. The included curve construction methods are Nelson-Siegel, Nelson-Siegel-Svensson, cubic spline interpolation and forward monotone convex spline interpolation. READ MORE

3. 2. IRRBB in a Low Interest Rate Environment

   University essay from KTH/Matematisk statistik

   Author : Simon Berg; Victor Elfström; [2020]
   Keywords : IRRBB; Gap Risk; Basis Risk; Option risk; Interest rate; Yield Curve; Nelson Siegel Svensson; PCA; Cholesky Decomposition; EBA; EVE; NII; Risk; Interest rate risk; IRRBB; Gaprisk; Basrisk; Optionsrisk; Ränta; Avkastningskurva; Nelson Siegel Svensson; PCA; Cholesky Decomposition; EBA; EVE; NII; Risk; Ränterisk;

   Abstract : Financial institutions are exposed to several different types of risk. One of the risks that can have a significant impact is the interest rate risk in the bank book (IRRBB). In 2018, the European Banking Authority (EBA) released a regulation on IRRBB to ensure that institutions make adequate risk calculations. READ MORE

4. 3. Mispricing Due to Nelson-Siegel-Svensson model

   University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

   Author : Neda Kazemie; [2014]
   Keywords : ;

   Abstract : Most trading software in the market uses linear interpolation in the bootstrap procedure to create a zero coupon interest rate curve. Forward interest rate curves created by interpolation method have a zigzag form that is inconsistent with arbitrage condition. READ MORE

5. 4. Modeling Swedish government yields with the Dynamic Nelson Siegel and the Dynamic Nelson Siegel Svensson Model

   University essay from Lunds universitet/Matematisk statistik

   Author : Malick Senghore; [2013]
   Keywords : Mathematics and Statistics;

   Abstract : The purpose of this thesis is to model and forecast Swedish government yields by using three classes of the Nelson Siegel Model Family. The three models considered are the Dynamic Nelson Siegel Model, Arbitrage-Free Nelson Siegel Model and Dynamic Nelson Siegel Svensson Model. READ MORE