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Showing result 1 - 5 of 9 essays matching the above criteria.

  1. 1. Pricing of Embedded Options: Implementing Stochastic Interest Rates & Stochastic Spread

    University essay from Lunds universitet/Matematisk statistik

    Author : Jan Müller; [2022]
    Keywords : Option pricing; Callable bonds; Affine term structure models; Hull-White one-factor; Hull White two-factor; Trinomial trees; Short rate; Default intensity; Swaption volatilities; Black-76; Credit derivatives; Calibration; Optimisation.; Mathematics and Statistics;

    Abstract : 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

  3. 2. 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

  4. 3. My word is my bond. Risk assessment of the Swedish mortgage portfolio

    University essay from Göteborgs universitet/Graduate School

    Author : Robert Vannerberg; Fabian Carlsson; [2017-07-25]
    Keywords : Swedish Mortgage Portfolio; Covered Bond; Cover Pool; House Price risk; Mortgage risk; Credit risk; Liquidity risk;

    Abstract : In this thesis, we investigate risks in the Swedish mortgage portfolio, namely Swedish covered bonds, in a housing market decline. We develop a stress-model which estimates mortgages that needs to be withdrawn from the cover pool to honor the covered bond contract. READ MORE

  5. 4. Did the Covered Bond Issuance Act decrease the required yield of bonds issued to finance mortgage lending?

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Alejandro Herdin Hallmen; Jonas Sjöman; [2017]
    Keywords : Covered bond; Covered Bond Issuance Act; Financing cost; Mortgage bond; Mortgage lending;

    Abstract : This paper examines the impact of the Covered Bond Issuance Act in Sweden. We argue that covered bonds exhibit a lower required yield than conventional mortgage bonds, which can reduce the financing cost of mortgage lending for banks. READ MORE

  6. 5. The emergence of an accounting practice –An analysis of how the changes in interpretation and application of IAS 19 paragraph 83 resulted in a new accounting practice in Sweden

    University essay from Göteborgs universitet/Företagsekonomiska institutionen

    Author : Frida Martinsson; Kristina Edqvist; [2013-06-12]
    Keywords : IAS 19; discount rate; yield on mortgage bonds; new accounting practice.;

    Abstract : Background and discussion: IAS 19 paragraph 83 addresses the estimation of the discount rate used for determination of the present value of defined benefit pension plans. Until 2010, the paragraph was consistently applied within Sweden, when all companies agreed that the yield on government bonds should be used as a reference for the discount rate. READ MORE