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Showing result 1 - 5 of 12 essays matching the above criteria.

  1. 1. Modeling of Foreign Exchange Swap Distributions : A statistical evaluation of two stochastic models

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Ludvig Ehrenpreis; Eriksson Oscar; [2023]
    Keywords : term structure measurement; optimization; foreign exchange swaps; interest rates; FX; model comparison; FX swap models;

    Abstract : 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

  3. 2. Modeling the yield curve in conjunction with the FX spots

    University essay from Umeå universitet/Institutionen för fysik

    Author : Philip Lundqvist; [2022]
    Keywords : Yield Curve; FX spots; Bootstrap; Hull-White; Simulation; Calibration;

    Abstract : 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

  4. 3. Intraday Seasonality in EUR/SEK Returns

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Albin Johansson; Johan Kull Tinnerholm; [2020]
    Keywords : Seasonality; intraday returns; intraday volatility; foreign exchange; Flexible Fourier Form; Business and Economics;

    Abstract : In this thesis the intraday seasonality in the EUR/SEK spot returns are investigated after the returns have been filtered from intraday volatility. This is done with five-minute returns from year 2007 to 2019. The returns are filtered using the Flexible Fourier Form regression and then intraday seasonality is tested using an ARMAX-GARCH model. READ MORE

  5. 4. A STUDY ON THE DCC-GARCH MODEL’S FORECASTING ABILITY WITH VALUE-AT-RISK APPLICATIONS ON THE SCANDINAVIAN FOREIGN EXCHANGE MARKET

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Tim Andersson-Säll; Johan Lindskog; [2019]
    Keywords : Multivariate GARCH; Conditional Correlations; Forecasting; Time-varying covariance matrices; Exchange rate returns; Variance-Covariance matrix;

    Abstract : This thesis has treated the subject of DCC-GARCH model’s forecasting ability and Value-at- Risk applications on the Scandinavian foreign exchange market. The estimated models were based on daily opening foreign exchange spot rates in the period of 2004-2013, which captured the information in the financial crisis of 2008 and Eurozone crisis in the early 2010s. READ MORE

  6. 5. Exploring the Factors of the Credit Default Swap Spread in Different Business Sectors

    University essay from KTH/Matematisk statistik

    Author : Kristofer Engman; Betty Ålander; [2017]
    Keywords : ;

    Abstract : In this study, we investigate the effect of market factors on credit default swap spreads aggregated by specific business sectors. The market factors include commodity spot prices, foreign exchange spot prices, equity index prices and interest swap rates. READ MORE