Essays about: "Liquidity proxy"

Showing result 1 - 5 of 28 essays containing the words Liquidity proxy.

  1. 1. Modelling Proxy Credit Cruves Using Recurrent Neural Networks

    University essay from KTH/Matematisk statistik

    Author : Lucas Fageräng; Hugo Thoursie; [2023]
    Keywords : Deep Neural Networks; Credit Risk; Financial Modelling; LSTM; Credit Default Swaps; Credit Valuation Adjustment; Djupa Neurala Nätverk; Kreditrisk; Finansiell Modellering; LSTM; Kreditswappar; Kreditvärderingsjustering;

    Abstract : Since the global financial crisis of 2008, regulatory bodies worldwide have implementedincreasingly stringent requirements for measuring and pricing default risk in financialderivatives. Counterparty Credit Risk (CCR) serves as the measure for default risk infinancial derivatives, and Credit Valuation Adjustment (CVA) is the pricing method used toincorporate this default risk into derivatives prices. READ MORE

  3. 2. Payment Method and Public Acquiror Returns: Evidence from the U.S. Market for Corporate Control

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Filip Toncev; [2023]
    Keywords : Mergers Acquisitions; Public Acquiror; Payment Method; Financial Stress; Abnormal Return;

    Abstract : This thesis examines the relationship between method of payment, financial stress, and acquiror abnormal returns using a sample of 676 acquisitions by NYSE, NYSE American, and Nasdaq listed non-financial, non-utility firms. In normal market conditions the results are generally consistent with previous findings, with stock acquisitions of private targets generating the highest abnormal returns. READ MORE

  4. 3. The Impact of Stock Market Manipulation: An empirical study of Nasdaq Stockholm Stock Exchange during 2018-2023

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Alina Mannonen; Caroline Zheng; [2023]
    Keywords : Stock Manipulation; Market Efficiency; Market Quality; Stockholm stock exchange; Market microstructure;

    Abstract : Despite widespread concern about market manipulation, there is a general lack of empirical evidence in the literature to support this claim. In particular, market manipulation has not been thoroughly investigated in advanced stock markets. READ MORE

  5. 4. Corporate Bond Inventories and Liquidity Risk Pricing

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Omar Aboumaria; Alexander Ekman; [2022]
    Keywords : Liquidity risk; Corporate bond; Inventory cycles; Dealer Inventory;

    Abstract : This paper studies the pricing of liquidity risk in the cross section of corporate bonds for the period of October 2004 to December 2020 following the method presented by Lin et al. (2011). Furthermore, it examines the relationship between liquidity pricing and inventory cycles. READ MORE

  6. 5. Predicting the Future with Stock Market Liquidity: A Study of the Swedish Stock Market Liquidity as a Leading Indicator of the Future Business Cycle

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Sofia Derninger; Anna Hagman; [2022]
    Keywords : Stock Market Liquidity; Business Cycle; Forecasting; Recession; Sweden;

    Abstract : Using daily stock data from the Stockholm Stock Exchange, this paper investigates the relationship between stock market liquidity and the real economy. We find restricted support for stock market liquidity containing leading information about real economic growth. READ MORE