Essays about: "Foreign exchange risk"

Showing result 11 - 15 of 66 essays containing the words Foreign exchange risk.

  1. 11. Anomaly Detection using a Deep Learning Multi-layer Perceptron to Mitigate the Risk of Rogue Trading

    University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Author : Erik Hedström; Philip Wang; [2021]
    Keywords : Deep Learning; Machine Learning; Multi-layer Perceptron MLP ; Neural network; Rogue Trading;

    Abstract : The term Rogue Trading is defined as the activity of someone at a financial organisation losing a large amount of money in bad or illegal transactions and trying to hide this. The activity of Rogue traders exposes financial organisations to huge risks and may lead to the organisation collapsing, which will affect other stakeholders like, for example, the customers. READ MORE

  3. 12. ESG Performance in Exchange Traded Funds (ETFs) and Fixed Income in the Context of Home Bias

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Jasper Chan; Min Chan Kim; [2020]
    Keywords : Home Bias · ESG · ETF · ESG Equities · Fixed Income; Business and Economics;

    Abstract : This paper explores home bias and the performance of exchange traded funds (ETFs) and bonds under the context of Environmental, Social and Governance (ESG). It analyzes investment strategies led by non-financial variables such as sustainable and responsible investment and how it affects the expected returns and risk and if the home bias phenomenon is weaker when following the said strategy. READ MORE

  4. 13. Debt Portfolio Optimization at the Swedish National Debt Office: : A Monte Carlo Simulation Model

    University essay from KTH/Matematisk statistik

    Author : Felix Greberg; [2020]
    Keywords : Public Debt Management; Financial Mathematics; Portfolio Optimization; Ornstein–Uhlenbeck; Vector Autoregression; Term Structure Evolution; Nelson-Siegel; R; Monte Carlo simulation; Skuldförvaltning; Finansiell matematik; Portföljoptimering; Ornstein–Uhlenbeck; Vector autoregression; Ränteutvecklingsmodeller; Nelson-Siegel; R; Monte Carlo-simulering;

    Abstract : It can be difficult for a sovereign debt manager to see the implications on expected costs and risk of a specific debt management strategy, a simulation model can therefore be a valuable tool. This study investigates how future economic data such as yield curves, foreign exchange rates and CPI can be simulated and how a portfolio optimization model can be used for a sovereign debt office that mainly uses financial derivatives to alter its strategy. READ MORE

  5. 14. 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. 15. Algorithmic Trading and Prediction of Foreign Exchange Rates Based on the Option Expiration Effect

    University essay from KTH/Matematisk statistik

    Author : Sina Mozayyan Esfahani; [2019]
    Keywords : Option expiration effect; option relevance coefficient; algorithmic trading; time series analysis; GARCH-X.; Effekten av optioners förfall; optionsrelevanskoefficient; algoritmisk handel; tidsserieanalys; GARCH-X.;

    Abstract : The equity option expiration effect is a well observed phenomenon and is explained by delta hedge rebalancing and pinning risk, which makes the strike price of an option work as a magnet for the underlying price. The FX option expiration effect has not previously been explored to the same extent. READ MORE