Essays about: "Macroeconomic Risk"

Showing result 21 - 25 of 103 essays containing the words Macroeconomic Risk.

1. 21. Building a Green Living : Measuring the green bond premium on the Swedish real estate market

   University essay from Jönköping University/Internationella Handelshögskolan

   Author : Pontus Alldén; Dev Joshi; [2021]
   Keywords : Green bond; premium; OAS; OLS Regression; Covid-19;

   Abstract : Background: With the first green bond being issued in 2008 as a joint venture between World Bank Organization and the Swedish bank SEB the financial instrument has made an impact on the financial markets. With a high demand for sustainable investments in Sweden partly due to policies a premium for the green bonds is to be expected at least according to theory. READ MORE

3. 22. STRESS TESTING AN SME PORTFOLIO : Effects of an Adverse Macroeconomic Scenario on Credit Risk Transition Matrices

   University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

   Author : Siri Almqvist; Oskar Nordin; [2021]
   Keywords : Stress test; SME; Transition Matrix; Credit Risk; Statistical Analysis; Machine Learning;

   Abstract : The financial crisis of 2007-2008 was a severe global crisis causing a worldwide recession. One of the main contributing factors of the crisis was the excessive risk appetite of banks and financial institutions. READ MORE

4. 23. Modeling stock market liquidity using macroeconomic variables: Evidence from Sweden

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Robin Mannoun; David Sjöblom; [2021]
   Keywords : Stock Market Liquidity; Macroeconomy; Nasdaq Stockholm; Empirical Finance; Econometrics; Business and Economics; Mathematics and Statistics;

   Abstract : This paper contributes both to investigating the relationship between the macroeconomic environment and stock market liquidity and to reviewing existing empirical evidence related to this relationship. We develop and examine panel data regression models for stock market liquidity based on macroeconomic factors. READ MORE

5. 24. Developing an Advanced Internal Ratings-Based Model by Applying Machine Learning

   University essay from KTH/Matematisk statistik

   Author : Aso Qader; William Shiver; [2020]
   Keywords : Internal-Ratings Based Approach; Machine Learning; Zero-Inflated Beta Regression; Capital Requirement; Basel Accords;

   Abstract : Since the regulatory framework Basel II was implemented in 2007, banks have been allowed to develop internal risk models for quantifying the capital requirement. By using data on retail non-performing loans from Hoist Finance, the thesis assesses the Advanced Internal Ratings-Based approach. READ MORE

6. 25. Modelling Swedish bond market activity : A liquidity proxy using potential and executed trades

   University essay from KTH/Industriell ekonomi och organisation (Inst.)

   Author : Therese Lin; [2020]
   Keywords : Government bonds; Mortgage bonds; Swedish bond market; Liquidity proxy; Investor activity; Potential trading; Svenska obligationsmarknaden; Likviditet; Aktivitet; Potentiell handel;

   Abstract : Bond markets are crucial for the stability and efficiency of the national financial system. Low liquidity prevents market developments and makes investors reluctant to trade actively. It is therefore crucial to maintain liquidity in bond markets. READ MORE