Essays about: "Yield curve estimation models"
Showing result 1 - 5 of 6 essays containing the words Yield curve estimation models.
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1. Improving term structure measurements by incorporating steps in a multiple yield curve framework
University essay from Linköpings universitet/ProduktionsekonomiAbstract : 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
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2. Hedging the Term Structure Risk of Carbon Allowance Derivatives : An Application of Stochastic Optimisation to EUA Market Making
University essay from Linköpings universitet/ProduktionsekonomiAbstract : The initiative by the EU to combat global warming through the introduction of a cap-and-trade system for greenhouse gas emissions in 2005, known as the EU Emissions Trading System (ETS), resulted in the inception of a new financial market. The right to emit one tonne of CO2-equivalents, as well as derivatives on this right, have become commodities, traded both through exchanges and over the counter. READ MORE
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3. Risk Measurement and Performance Attribution for IRS Portfolios Using a Generalized Optimization Method for Term Structure Estimation
University essay from Linköpings universitet/ProduktionsekonomiAbstract : With the substantial size of the interest rate markets, the importance of accurate pricing, risk measurement and performance attribution can not be understated. However, the models used on the markets often have underlying issues with capturing the market's fundamental behavior. READ MORE
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4. Yield curve estimation models with real market data implementation and performance observation
University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikationAbstract : It always exists different methods/models to build a yield curve from a set of observed market rates even when the curve completely reproduces the price of the given instruments. To create an accurate and smooth interest rate curve has been a challenging all the time. READ MORE
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5. Accuracy in Swedish unsegmented and segmented rating curves : Accounting for measurement uncertainty and heteroscedasticity
University essay from Uppsala universitet/Institutionen för geovetenskaperAbstract : River discharge estimation is the basic hydrological information for most hydrological applications in various socioeconomic planning. Increasing the accuracy of the traditional rating curve in relation to river discharge estimation would be very valuable to hydrological applications. READ MORE