Essays about: "Loan Pricing"
Showing result 1 - 5 of 14 essays containing the words Loan Pricing.
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1. Does investor diversity in loan syndications affect the initial returns in the secondary market?
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : The syndicated loan market is a major source of corporate funding, raising $5 trillion in 2021. The secondary market where these loans are traded has seen a rapid growth in the last few decades. This growth was accompanied by the entrance of new types of participants, increasing the investor diversity. READ MORE
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2. 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
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3. Multi-Armed Bandit to optimize the pricing strategy for consumer loans
University essay from Lunds universitet/Institutionen för reglerteknikAbstract : This thesis explores the possibility of framing the problem of setting prices for consumer loans on loan comparison sites as a Multi-Armed Bandit Problem. The problem is solved by creating a Multi-Armed Bandit environment based on SEB:s expert knowledge of the problem. READ MORE
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4. Pricing collateralized loan obligation tranches using machine learning : Machine learning applied to financial data
University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)Abstract : Machine learning and neural networks have recently become very popular in a large category of domains, partly thanks to their ability to solve complex problems by finding patterns in data, but also due to an increase in computing power and data availability. Successful applications of machine learning include for example image classification, natural language processing, and product recommendation. READ MORE
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5. Pricing of Embedded Options: Implementing Stochastic Interest Rates & Stochastic Spread
University essay from Lunds universitet/Matematisk statistikAbstract : Given the current market climate, in an era of negative interest-rates, the Hull-White model has regained popularity in the eyes of investors. This thesis aims to extend this model to incorporate credit risk, to allow the modelling of credit derivatives such as diff swaps, defaultable corporate bonds and credit default swaps. READ MORE