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Showing result 1 - 5 of 12 essays matching the above criteria.

  1. 1. Modeling Credit Default Swap Spreads with Transformers : A Thesis in collaboration with Handelsbanken

    University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Author : Johan Luhr; [2023]
    Keywords : Machine Learning; Transformer; Finance; Credit Default Swap; Credit Valuation Adjustment; Time Series Data; Maskininlärning; Transformer; Finance; Kreditswapp; Kredit Värderings Justering; Tidsserie data;

    Abstract : In the aftermath of the credit crisis in 2007, the importance of Credit Valuation Adjustment (CVA) rose in the Over The Counter (OTC) derivative pricing process. One important part of the pricing process is to determine Probability of Defaults (PDs) of the counterparty in question. READ MORE

  3. 2. Illiquidity and Its Threats - A Study of the U.S. Corporate Bond Market

    University essay from Lunds universitet/Matematisk statistik

    Author : Adam Löfquist; Erik Ottosson; [2021]
    Keywords : Liquidity; price dispersion; Hui-Heubel liquidity ratio; ILLIQ; TRACE; U.S. corporate bonds; Over-the-Counter market; regression analysis; return modelling; stressed market conditions.; Mathematics and Statistics;

    Abstract : In recent times of market turmoil, liquidity risk has become a big talking point. As certain Swedish fixed income funds, which were advertised as safe investment options, closed for a few trading days in March of 2020 due to the extremely high stress on the market, questions about how illiquidity a↵ects risk and return were asked. READ MORE

  4. 3. Usage of Non-steroidal anti-inflammatory drugs in a sample of New Zealanders with osteoarthritis : A cross-sectional study

    University essay from Umeå universitet/Avdelningen för fysioterapi

    Author : Victor Swenson; Mattias Ekberg; [2020]
    Keywords : NSAID; Oesteoarthritis; Survey; Cross-sectional study; Comorbidities; Adverse events; Clinical guidelines; New Zealand;

    Abstract : Introduction Oral Non-steroidal anti-inflammatory drugs (NSAID) is an analgesia and is commonly used by people with osteoarthritis (OA). Oral NSAID is currently recommended as the second level of treatment for OA, and could be considered if physical activity, topical NSAID or paracetamol do not supply sufficient pain relief. READ MORE

  5. 4. On the Proxy Modelling of Risk-Neutral Default Probabilities

    University essay from KTH/Matematisk statistik

    Author : Edvin Lundström; [2020]
    Keywords : Counterparty Credit Risk; Credit Valuation Adjustment; CVA; Credit modelling; Reduced form model; Proxy model; Hazard rate; Cross-section model; Nomura model; Motpartsrisk; Kreditvärderingsjustering; CVA; Kreditmodellering; Proxymodellering; Nomuramodellen;

    Abstract : Since the default of Lehman Brothers in 2008, it has become increasingly important to measure, manage and price the default risk in financial derivatives. Default risk in financial derivatives is referred to as counterparty credit risk (CCR). The price of CCR is captured in Credit Valuation Adjustment (CVA). READ MORE

  6. 5. The Swedish Pharmaceutical Market: Competition and Pricing Post-Deregulation

    University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Author : Karin Fura; Elsa Horn af Rantzien; [2017]
    Keywords : Market structure; Price competition; Demand estimation; Pharmaceutical retail;

    Abstract : This paper examines the Swedish market of over-the-counter (OTC) pharmaceuticals following the reform in 2009. The market is an oligopoly and the market concentration has increased over the recent years. Several impediments to price competition are present, including asymmetric information and significant barriers to entry. READ MORE