Essays about: "FX risk"
Showing result 1 - 5 of 21 essays containing the words FX risk.
-
1. Modeling of Foreign Exchange Swap Distributions : A statistical evaluation of two stochastic models
University essay from Linköpings universitet/ProduktionsekonomiAbstract : The global foreign exchange (FX) market is one of the world's largest financial markets and a significant part of this market concerns the trading of FX swaps. For banks and other financial institutions, it is of great interest to model these swaps as accurately as possible, as this could improve their risk management. READ MORE
-
2. A Study of Risk Factor Models: Theoretical Derivations and Practical Applications
University essay from KTH/Matematik (Avd.)Abstract : This thesis provides an end-to-end picture of the modelling of interest rates and Foreign Exchange (FX) rates. We start by defining the FX rates and the interest rates. After having a good understanding of the basics, we take a deep dive into the approaches commonly used to model interest rates and FX rates respectively. READ MORE
-
3. Quantifying the Impact of EU-US "Distressed" Financial Market Integration on European Credit Supply
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This paper proposes a new method for quantifying financial integration by adapting Adrian & Brunnermeier (2016)’s ΔCoVaR to conform with standard asset pricing literature (Lewellen & Nagel 2006, Cochrane 2009). We reconcile ΔCoVaR with standard microeconomic theory (Waller & Lewarne 1994) and test for causal relationships with respect to the contagion of US acute financial shocks to the EU’s loan supply. READ MORE
-
4. Modeling the yield curve in conjunction with the FX spots
University essay from Umeå universitet/Institutionen för fysikAbstract : Interest rates and foreign exchange spots are widely used within financial products. It is important to understand the risk arising from products that depend on interest rates and/or foreign exchange spots. READ MORE
-
5. Factor Models for Futures Contracts to Improve Estimation of the Correlation Matrix
University essay from Lunds universitet/Matematisk statistikAbstract : In this paper regularization of the correlation matrix between futures contracts is examined. With starting point in the recently established HPCA framework (Avellaneda, 2019), a couple of different extensions to the one-factor model is suggested. Extensions are made in terms of adjusting the model according to different cluster structures. READ MORE