Essays about: "Risk-Free Rate"

Showing result 1 - 5 of 55 essays containing the words Risk-Free Rate.

  1. 1. ON THE CVA OF CREDIT DEFAULT SWAPS: THE IMPLICATION OF DEPENDENCE USING A COPULA APPROACH

    University essay from Göteborgs universitet/Graduate School

    Author : Sebastian Alm; Joel Fredriksson Pregmark; [2023-06-29]
    Keywords : Credit Value Adjustment; Counterparty Credit Risk; Wrong Way Risk; Credit Default Swap; Semi-Analytical Model; Interest Rate Swap;

    Abstract : This study examines the nature and background to the Credit Value Adjustment(CVA), a concept that has gained focus due the it’s heightened importance for financial institutions subsequent to the 2008 financial crisis. CVA can be defined as the the price that should be added to the bilateral defaultable contract to adjust for the existing Counterparty Credit Risk (CCR) so that the contract will have the same value as a corresponding risk-free contract. READ MORE

  3. 2. The Impact of Risk Premium Factors on Cap Rates in Sweden’s Office Market

    University essay from KTH/Fastighetsföretagande och finansiella system

    Author : Elias Adolfsson; Jesper Jansson; [2023]
    Keywords : Cap rate; yield; risk premium; commercial real estate; office; regression analysis; macroeconomics; Cap rate; yield; riskpremie; kommersiella fastigheter; kontor; regressionsanalys; makroekonomi;

    Abstract : This study examines the impact of risk premium factors on cap rates within Sweden's largest office markets. The research questions address the significance of various micro- and macroeconomic variables on cap rates, as well as the extent of this impact and how it varies across different locations. READ MORE

  4. 3. Navigating the Volatility Adjustment in Solvency II : Portfolio Optimization for Balance Sheet Stability

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Max Thorendal; [2023]
    Keywords : ;

    Abstract : This thesis investigates volatility adjustment from the Solvency II regulation and portfolio allocation methods for pension- and life insurance companies aiming to maintain a stable balance sheet. The volatility adjustment is a component added to the risk-free rate for discounting the present value of future liabilities, and it is calculated monthly based on the spread levels in the fixed-income market. READ MORE

  5. 4. Improving term structure measurements by incorporating steps in a multiple yield curve framework

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Gustav Villwock; Clara Rydholm; [2022]
    Keywords : Finance; Interest rates; Term structure measurement; Monte Carlo; Financial mathematics; Yield curve; Policy rates; Multiple yield curve framework; Stochastic programming; Risk factor modeling; Hedging; Performance attribution; Principle component analysis; GARCH; Maximum likelihood estimation; Copula;

    Abstract : By issuing interest rate derivative contracts, market makers such as large banks are exposed to undesired risk. There are several methods for banks to hedge themselves against this type of risk; one such method is the stochastic programming model developed by Blomvall and Hagenbjörk (2022). READ MORE

  6. 5. Follow the Money : Determinants of Cap Rates in the Stockholm Office Market

    University essay from KTH/Fastighetsföretagande och finansiella system

    Author : Henrik Saxton; [2022]
    Keywords : Real estate economics; macroeconomy; capitalization rate determinants; foreign investments; unconventional monetary policy; econometrics; dynamic ordinary least squares DOLS regression analysis; Fastighetsekonomi; makroekonomi; bestämningsfaktorer för direktavkastningskrav; utländska investeringar; okonventionell penningpolitik; dynamisk vanliga minstakvadratmetoden DOLS regressionsanalys;

    Abstract : Purpose – In recent decades the inflation- and interest rates have followed a long-termdeclining trend. Followed by central banks starting to use unconventional monetary policiesto cope with financial crises have led to increased amounts of liquidity in the financialsystems and available and looking for investment alternatives on the capital markets. READ MORE