Essays about: "Ívar Alfreð Grétarsson"

Found 3 essays containing the words Ívar Alfreð Grétarsson.

  1. 1. The Equity Premium Puzzle post the Financial Crisis

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Bergsveinn Snorrason; Ívar Alfreð Grétarsson; [2011]
    Keywords : Equity Premium Puzzle; Survivorship Bias; Non-linear interpolation; Risk aversion; Bond; Equity; Business and Economics;

    Abstract : The purpose of this paper is to take a closer look at the equity premium puzzle which is one of the most intriguing puzzles in economics and has been challenging researchers for the last 25 years since Mehra and Prescott first introduced the puzzle. It refers to the empirical fact that risky equity has been outperforming default free debt with about 6 percentage points for the U. READ MORE

  3. 2. On the Pricing of Credit Default Swaps: A comparative Study between the Reduced-Form Model and the Structural Model

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Ivar Alfred Gretarsson; Nicklas Ennab; [2009]
    Keywords : econometrics; Economics; The Structural model; The Reduce-form model; The Merton model; Credit default swap spread; The Hull and White model; Probability of Default; credit risk; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : This paper focuses on measurement methods of credit risk. By modeling credit default swap spreads and predicting possible defaults of corporations with the use of default probabilities this paper makes the search for consistent methods to measure and manage risk by constructing plausible forecasts of contingent corporate defaults. READ MORE

  4. 3. A Comparative Study between the KMV and the Zero-Price Probability for Default Prediction

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Paul Göransson; Ivar Alfred Gretarsson; [2008]
    Keywords : credit risk; KMV; Zero-Price Probability; ZPP; Monte Carlo Simulation; Default-probability; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : This master’s thesis is a comparative study between a structural model and a simulation based model for predicting default-probabilities. The structural model used is the KMV model and the simulation based is a new model called Zero-Price Probability. The main focus is on the new simulation based approach rather than the older established models. READ MORE