Essays about: "Erik Boltenstål"

Found 2 essays containing the words Erik Boltenstål.

  1. 1. Statistical Arbitrage Using Cross-Market Pairs Trading

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Erik Boltenstål; [2018]
    Keywords : Statistical Arbitrage; Cointegration; Kalman Filter; Pairs Trading;

    Abstract : Pairs trading is a statistical arbitrage strategy that offers appealing properties for the sophisticated investor. The concept relies on the creation of a mean-reverting spread between two assets, where there is assumed to exist a long-term equilibrium relationship. READ MORE

  3. 2. Diminishing Risk-Weights Under the Basel II Accord: A Sign of Better Credit Quality or Regulatory Arbitrage?

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Erik Boltenstål; Markus Falkman; [2015]
    Keywords : Basel II; model based approach; risk weights; capital requirements; credit ratings;

    Abstract : The Basel II-accord aimed to strengthen the financial system by making the banks more solvent. The Internal Ratings Based-model was introduced to create a better connection between risk held and regulatory capital. READ MORE