Essays about: "Contractual Models"

Showing result 6 - 10 of 15 essays containing the words Contractual Models.

  1. 6. Structural Modelling of Credit Spreads on the European Bond Market: An Empirical Study

    University essay from Lunds universitet/Matematisk statistik

    Author : Marcus Zethraeus; Magnus Roos; [2017]
    Keywords : Structural models; Merton model; Black Cox model; European corporate bond spreads; Mathematics and Statistics;

    Abstract : This thesis empirically tests the explanatory power of structural models on the European corporate bond market. Using new evaluation methods, including LASSO and gradient boosting regression, we can provide an in-depth assessment of the models’ shortcomings. READ MORE

  3. 7. Estimating expected lifetime of revolving credit facilities in an IFRS 9 framework

    University essay from Lunds universitet/Matematisk statistik

    Author : Jonas Berglund; [2016]
    Keywords : Mathematics and Statistics;

    Abstract : This paper sets out to estimate expected lifetime of revolving credit facilities (e.g. credit card products) and is motivated by the introduction of the International Financial Reporting Standard 9 (IFRS 9) and its requirements for loan impairments. READ MORE

  4. 8. Valuation of Interest Rate Swaps in the presence of Counterparty Credit Risk

    University essay from Göteborgs universitet/Graduate School

    Author : Robin Axelsson; [2014-11-26]
    Keywords : Interest Rate Swaps; Counterparty Credit Risk;

    Abstract : Insuring debt through credit default swaps (CDS) and collateralized debt obligations (CDO) has become increasingly more popular. Recent events such as the financial crisis of 2008 have shown that the credit models for these insurances have lacked severely in certain aspects. READ MORE

  5. 9. On Lapse risk factors in Solvency II

    University essay from KTH/Matematisk statistik

    Author : Daniel Boros; [2014]
    Keywords : ;

    Abstract : In the wake of the sub-prime crisis of 2008, the European Insurance and Occupational Pensions Authority issued the Solvency II directive, aiming at replacing the obsolete Solvency I framework by 2016. Among the quantitative requirements of Solvency II, a measure for an insurance firms solvency risk, the solvency risk capital, is found. READ MORE

  6. 10. Aligning Incentives: Financial Models for Promoting Energy Efficiency Renovations in American Apartment Buildings

    University essay from Lunds universitet/Internationella miljöinstitutet

    Author : Mimosa Burr; [2013]
    Keywords : Energy efficiency; buildings; renovation; split incentive; financial model; Social Sciences; Earth and Environmental Sciences;

    Abstract : Buildings account for a significant portion of energy consumption and carbon dioxide production in the United States. Renovations could improve the energy efficiency of these buildings. However, a number of market barriers, e.g. READ MORE