Essays about: "Bing Zhang"

Found 2 essays containing the words Bing Zhang.

1. 1. Measuring Financial Risks by Peak Over Threshold Method

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Bing Zhang; [2016]
   Keywords : Extreme Value Theory; Peak Over Threshold; Value at Risk; Expected Shortfall; Back-testing; GARCH 1; 1 ; Business and Economics;

   Abstract : Assessing the probability of rare and extreme events is an important issue in the risk management of financial portfolios. Extreme value theory provides the solid fundamentals needed for the statistical modelling of such events and the computation of extreme risk measures. READ MORE

3. 2. An Empirical Analysis for Determinants of Interest Rate Swap Spread

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Ke Zhang; Bing Liang; [2008]
   Keywords : interest rate; Swap spread; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

   Abstract : As one of the most popular derivatives to hedge interest rate risk, the variation of interest rate swap spread has been studied since its advent. Nevertheless, the variables in theory are regarded as determinant risk factors showing limited explanatory power. READ MORE