Essays about: "Mortgage spread"

Showing result 1 - 5 of 12 essays containing the words Mortgage spread.

  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. Housing Finance and the Transmission of Mortgage Spread Shocks

    University essay from Uppsala universitet/Nationalekonomiska institutionen

    Author : Denise Hansson; [2020]
    Keywords : Mortgage spread; credit supply; housing demand; monetary policy; business cycle;

    Abstract : Credit market frictions, captured by mortgage spreads, are potentially an equally important driver behind mortgage rate innovations as monetary policy. Possibly a significant driver of business cycles. Yet, the effect of such shocks on the economy has barely received any attention in empirical research. READ MORE

  4. 3. 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

  5. 4. An Empirical Study on the Reversal Interest Rate

    University essay from KTH/Matematisk statistik

    Author : Pontus Berglund; Daniel Kamangar; [2020]
    Keywords : reversal interest rate; effective lower bound; negative interest rates; monetary policy transmission; interest rate pass-through; bank lending;

    Abstract : Previous research suggests that a policy interest rate cut below the reversal interest rate reverses the intended effect of monetary policy and becomes contractionary for lending. This paper is an empirical investigation into whether the reversal interest rate was breached in the Swedish negative interest rate environment between February 2015 and July 2016. READ MORE

  6. 5. The Capital Structure of Swedish banks -Development after a financial crisis

    University essay from Göteborgs universitet/Företagsekonomiska institutionen

    Author : Victor Nilsson; Joakim Nordström; [2013-09-09]
    Keywords : Basel Accords; Basel Committee; Capital structure; Financial crisis; Liquidity; ;

    Abstract : Background and problem: This study investigates the effects of the financial crisis of 2007- 2008, a crisis partly caused by mortgage backed securities. Banks had a large part in the developments taking place in the years after the outbreak of the crisis in 2007, as many banks had an excessively low capital base, involving too much risk in its businesses. READ MORE