Essays about: "Liquidity risk in bank"

Showing result 16 - 20 of 39 essays containing the words Liquidity risk in bank.

  1. 16. Structural Modelling of Credit Spreads on the European Bond Market: An Empirical Study

    University essay from Lunds universitet/Matematisk statistik

    Author : Marcus Zethraeus; Magnus Roos; [2017]
    Keywords : Structural models; Merton model; Black Cox model; European corporate bond spreads; Mathematics and Statistics;

    Abstract : This thesis empirically tests the explanatory power of structural models on the European corporate bond market. Using new evaluation methods, including LASSO and gradient boosting regression, we can provide an in-depth assessment of the models’ shortcomings. READ MORE

  3. 17. The Determinants of European Coco Spreads

    University essay from Göteborgs universitet/Graduate School

    Author : Carl-Fredrik Hallden; Blomqvist Blomqvist; [2016-09-21]
    Keywords : Contingent Convertible bonds; Cocos; Coco spreads; Hybrid Securities; Basel III; Additional Tier 1; Tier 2; Banks;

    Abstract : Contingent Convertible (Coco) bonds are hybrid capital securities that absorb losses when the capital of the issuing bank falls below a certain level. Previous research has mainly been focusing on the pricing of such instruments and this paper contributes to the eld by empirically examining the determinants of Coco bond spreads for European banks. READ MORE

  4. 18. A framework for modeling the liquidity and interest rate risk of demand deposits

    University essay from KTH/Matematisk statistik

    Author : Peter Henningsson; Christina Skoglund; [2016]
    Keywords : Non-maturing liabilities; Liquidity risk; Interest rate risk; Vasicek short rate model; Deposit volume modeling; Deposit rate modeling; Valuation of demand deposits;

    Abstract : The objective of this report is to carry out a pre-study and develop a framework for how the liquidity and interest rate risk of a bank's demand deposits can be modeled. This is done by first calibrating a Vasicek short rate model and then deriving models for the bank's deposit volume and deposit rate using multiple regression. READ MORE

  5. 19. Bank capitalization and credit rating assessment : Evidence from the EBA stress test

    University essay from Högskolan i Jönköping/Internationella Handelshögskolan

    Author : Evgenia Dimitrova; [2016]
    Keywords : Bank capitalization; Moody’s credit rating assessment; EBA stress test; capital structures; banks adequacy and solvency; excess equity;

    Abstract : Banks face market pressure when determining their capital structures because they are subject to strict regulations. CFOs are willing to adjust their company’s capital structures in order to obtain higher ratings. READ MORE

  6. 20. Two investment solutions for CTL forestry machines

    University essay from SLU/Dept. of Economics

    Author : Oskar Eliasson; [2016]
    Keywords : leasing; forestry machines; instalment loan; CTL; breakdown;

    Abstract : The private owned forestry machinery contractors account for the major part of the harvesting and logging of wood in Sweden. Without contractors the Swedish forestry sector would not be able to harvest any wood in the Swedish forest. A large group of the contractors have struggled with poor liquidity since the nineties. READ MORE