Essays about: "Marknadsrisk"

Showing result 1 - 5 of 8 essays containing the word Marknadsrisk.

  1. 1. Extreme Value Theory Applied to Securitizations Rating Methodology

    University essay from KTH/Matematisk statistik

    Author : Tarek Barbouche; [2017]
    Keywords : Extreme Value Theory; Exchange rates; Block Maxima; Peaks-over-Threshold; Securitization; Extremvärdesteori; Valutakurser; Block Maxima; Peaks-over-Threshold; Värdepapperisering;

    Abstract : One of today’s financial trends is securitization. Evaluating Securitization risk requires some strong quantitative skills and a deep understanding of both credit and market risk. For international securitization programs it is mandatory to take into account the exchange-rates-related risks. READ MORE

  2. 2. Investment Opportunities for Swedish Life Insurance Companies

    University essay from KTH/Matematisk statistik

    Author : Pontus Rufelt; [2016]
    Keywords : ;

    Abstract : Since the new risk sensitive regulation Solvency II was enabled the 1st of January 2016 the European insurance companies have to review their investment strategies. Insurance companies are among the largest institutional investors in Europe holding EUR 6.7 trillion assets, thus major changes in their asset management can impact the capital markets. READ MORE

  3. 3. Internal Market Risk Modelling for Power Trading Companies

    University essay from KTH/Matematisk statistik

    Author : Markus Ahlgren; [2015]
    Keywords : Power Market; Electricity; Forward Curve; Market Risk; VaR; ES; Basel; CRR; FRTB; Risk Management; Elmarknad; Elektricitet; Forwardkurva; Marknadsrisk; VaR; ES;

    Abstract : Since the financial crisis of 2008, the risk awareness has increased in the -financial sector. Companies are regulated with regards to risk exposure. These regulations are driven by the Basel Committee that formulates broad supervisory standards, guidelines and recommends statements of best practice in banking supervision. READ MORE

  4. 4. Asset allocation under Solvency II : Adjusting investments for capital efficiency

    University essay from KTH/Entreprenörskap och Innovation; KTH/Entreprenörskap och Innovation

    Author : ERIK HELLGREN; FREDRIK UGGLA; [2015]
    Keywords : Solvency II; capital requirements; life insurance; market risk; portfolio; Solvens II; kapitalkrav; livförsäkring; marknadsrisk; portföljoptimering;

    Abstract : Solvens II är ett nytt regelverk för försäkringsbolag inom EU som ska träda i kraft 2016. Tidigare forskning har diskuterat effekterna av det nya regelverket och förutspår att det kommer att påverka försäkringsbolagens tillgångsallokering. READ MORE

  5. 5. Alternative Methods for Value-at-Risk Estimation : A Study from a Regulatory Perspective Focused on the Swedish Market

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

    Author : Fredrik Sjöwall; [2014]
    Keywords : Basel Accords; market risk; Value-at-Risk; non-parametric model; historical simulation; weighting of observations; backtesting; Baselregelverket; marknadsrisk; Value-at-Risk; icke-parametrisk modell; historisk simulering; vägning av observationer; backtesting;

    Abstract : The importance of sound financial risk management has become increasingly emphasised in recent years, especially with the financial crisis of 2007-08. The Basel Committee sets the international standards and regulations for banks and financial institutions, and in particular under market risk, they prescribe the internal application of the measure Value-at-Risk. READ MORE