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Showing result 1 - 5 of 11 essays matching the above criteria.

  1. 1. A STUDY ON THE DCC-GARCH MODEL’S FORECASTING ABILITY WITH VALUE-AT-RISK APPLICATIONS ON THE SCANDINAVIAN FOREIGN EXCHANGE MARKET

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Tim Andersson-Säll; Johan Lindskog; [2019]
    Keywords : Multivariate GARCH; Conditional Correlations; Forecasting; Time-varying covariance matrices; Exchange rate returns; Variance-Covariance matrix;

    Abstract : This thesis has treated the subject of DCC-GARCH model’s forecasting ability and Value-at- Risk applications on the Scandinavian foreign exchange market. The estimated models were based on daily opening foreign exchange spot rates in the period of 2004-2013, which captured the information in the financial crisis of 2008 and Eurozone crisis in the early 2010s. READ MORE

  3. 2. Government yield spread determinants in the eurozone and the effect of the European debt crisis

    University essay from KTH/Skolan för industriell teknik och management (ITM)

    Author : Arian Kalantari; [2019]
    Keywords : Government bonds; yield spread; eurozone; European debt crisis; risk; Statsobligationer; räntor; spread; euroområdet; risk; skuldkrisen;

    Abstract : The inception of the economic and monetary union (EMU) in January 1999 created new conditions for government debt. By eliminating currency exchange rate risk between the member states, the hope was to achieve a more sustainable and integrated government debt market in the euro area. READ MORE

  4. 3. CVA for IR-Swaps under Wrong Way Risk. A numerical evaluation using a semi-analytical model

    University essay from Göteborgs universitet/Graduate School

    Author : Berglind Halldórsdóttir; Weili Zhang; [2016-09-21]
    Keywords : Credit Value Adjustment; Wrong Way Risk; Interest Rate Swap; Credit Default Swap; Homogeneous CVA Portfolio; Heterogeneous CVA Portfolio; Semi-Analytical Model;

    Abstract : This thesis examines the background and nature of credit value adjustment (CVA), a concept that has heightened in its importance in the financial market after the 2008 financial crisis. Credit value adjustment is defined as a price deducted from the risk-free value of a bilateral derivative to adjust for the counterparty credit risk (CCR). READ MORE

  5. 4. Iceland and the financial crisis: Would EMU-membership have helped?

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Erik Olsson; [2015]
    Keywords : Iceland; financial crisis; euro; EMU; interest rate; Business and Economics;

    Abstract : After the global financial crisis erupted in the fall of 2008 the Icelandic economy was thrown into recession. It has been suggested that Iceland would have been better off had it been a part of the EU and the European Monetary Union (EMU) and this essay aim at investigating that claim. READ MORE

  6. 5. Macroeconomic Forces and Their Effects on the Swedish Banking Sector

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Oscar Larsson; Marcus Johansson Prakt; [2013-03-20]
    Keywords : ;

    Abstract : After the bankruptcy of Lehman Brothers in September 2008 international capital markets trembled of uncertainty and investors did not know where the markets were heading. The market turmoil also had an impact on Sweden and especially on the banking sector due to the interdependence of international financial markets. READ MORE