Essays about: "Magnus Brandt"

Found 2 essays containing the words Magnus Brandt.

1. 1. Irreversible Investments under Uncertainty and Inside-ownership. Real Option Approach in a Reduced Form Hazard Model

   University essay from Göteborgs universitet/Graduate School

   Author : Magnus Brandt; Jesper Börjesson; [2015-07-13]
   Keywords : Real options; irreversibility; hazard model; inside-ownership; systematic risk; idiosyncratic risk;

   Abstract : This thesis investigates the probability of making a marginal investment in 33 Swedish Large Cap firms from 2005 to 2015. We use marginal rate of return as a trigger event in an option to delay. This is then examined in a reduced form hazard model using the Black & Scholes option parameters. READ MORE

3. 2. Pricing Contingent Convertibles - in an intensity based model

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Magnus Brandt; Caroline Hermansson; [2013-07-10]
   Keywords : Convertible bonds; Contingent convertibles CoCos ; Credit Default Swaps CDS ; CDS Spread; Credit Derivative approach;

   Abstract : As a result of the recent years financial instability, governments have developed new regulatory frameworks for bank capital adequacy. Authorities have become more aware of keeping capital as a buffer to absorb potential losses. Due to this, a new financial instrument, so-called Contingent convertibles (CoCos) have become more interesting. READ MORE