Essays about: "optimal debt maturity"

Found 4 essays containing the words optimal debt maturity.

1. 1. Optimal Capital Structures under the Vasicek Stochastic Interest Rate Model

   University essay from KTH/Matematik (Avd.)

   Author : Oscar Danielson; Tom Hagéus; [2023]
   Keywords : Vasicek model; stochastic interest rate model; optimal capital structures; tax benefits; bankruptcy costs; transaction costs; optimal leverage ratio; optimal debt maturity; Vasicekmodell; stokastisk räntemodell; optimala kapitalstrukturer; skattefördelar; konkurskostnader; transaktionskostnader; optimal belåningsgrad; optimal löptid;

   Abstract : This study applies the Vasicek stochastic interest rate model in order to determine optimal capital structures for listed firms. A Swedish interest rate data set is used to estimate Vasicek model parameter that are reliable and independent of initial start values. READ MORE

3. 2. Determining The Optimal CapitalStructure With The Contingent Claims Analysis

   University essay from KTH/Entreprenörskap och Innovation

   Author : YUWEI ZHANG; [2016]
   Keywords : Contingent claims analysis; capital structure; leverage ratio; debt maturity period; stochastic interest rate; interest rate long-run mean;

   Abstract : Finding the optimal capital structure has been a relevant subject for many decades. Therehas for a long time been a discrepancy between observed leverage ratio and those proposedby theory, with many different theories suggested and developed throughout time. One ofthose theories is the Contingent Claims Analysis (CCA). READ MORE

4. 3. Is an Optimal Currency Area an Optimal Portfolio?

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : James Madigan; [2011]
   Keywords : Eurozone; Euro; Portfolio Optimization; Optimal Currency Area; MVP Portfolio; Business and Economics;

   Abstract : This paper will analyze the construction of an optimal currency area using mean variance portfolio analysis, in order to determine what would have been the most stable monetary union for the European Union prior to the complete transition to the Euro currency on January 1, 2002. The analysis calculates the minimum variance portfolio of the potential European Union members by using there sovereign bond yield to maturity as a proxy for the return and variance of the asset. READ MORE

5. 4. A Financial Optimization Approach to Quantitative Analysis of Long Term Government Debt Management in Sweden

   University essay from Matematiska institutionen

   Author : Tomas Grill; Håkan Östberg; [2003]
   Keywords : Mathematical optimization; systems theory; Financial Optimization; Stochastic Programming; Government Debt; Debt Portfolio Management; Treasury Bond; Treasury Bill; Macroeconomic Simulation; Stochastic Process; Autoregressive Process; Markov Chain; K-Means Clustering; Scenario Tree; Optimeringslära; systemteori;

   Abstract : The Swedish National Debt Office (SNDO) is the Swedish Government’s financial administration. It has several tasks and the main one is to manage the central government’s debt in a way that minimizes the cost with due regard to risk. READ MORE