Essays about: "illiquidity discount"

Found 4 essays containing the words illiquidity discount.

  1. 1. Do you want to swap? A study of the liquidity risk in the SEK interest rate swap market

    University essay from Göteborgs universitet/Graduate School

    Author : Viktor Edberg; Carl Hjelmqvist; [2023-06-29]
    Keywords : Bao; Pan; Wang indicator; Determinants; Dimensions of liquidity; Forward Rate Agreement; Fundamental Review of the Trading Book; Generalized least squares; Interest Rate Derivative; Interest Rate Swap; Liquidity horizon; Liquidity risk premium; Market liquidity; SVEN spread; Swap Spread; Swedish Government benchmark bond; Treasury-Eurodollar; Turnover ratio; Turnover-per-day; Volume-adjusted intraday volatility;

    Abstract : Interest rate swaps are one of the world’s most essential interest rate derivatives. It is therefore important to understand the pricing of these agreements, and how the market is functioning. READ MORE

  3. 2. Comparing the Liquidity-Adjusted Expected Shortfall Models Over High and Low Liquid Stocks Portfolios: Empirical Results on Thailand Stock Market

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Watsachol Koosamart; Biyun Meng; [2020]
    Keywords : expected shortfall; liquidity adjustment; bid-ask spread; liquidity discount; liquidation time; Business and Economics;

    Abstract : The stylized fact that stock markets are not perfectly liquid propels banks to incorporate liquidity risk in the risk metrics so that market risk can be managed properly. Disregarding liquidity risk can lead to an underestimation of overall risk and substantial losses. READ MORE

  4. 3. Valuation - The issue of illiquidity : A qualitative retake on illiquidity discounts in the context of private company valuation on the Swedish market

    University essay from Umeå universitet/Företagsekonomi

    Author : Viktor Fredlund; Andreas Tollerup; [2015]
    Keywords : PCD; Private company discount; illiquidity discount; DLOM; valuation; likviditetsrabatt; private company; illiquidity; company valuation; illikviditetsrabatt; företagsvärdering; privat företag; värdering; illikviditet;

    Abstract : A private company lacks a direct observable market value and several situations may require a practitioner to compute the value of a private company. Since most of the valuation methods in use are based on data derived from the public stock markets certain adjustments may be appropriate when valuing a private company. READ MORE

  5. 4. Swedish and Swiss Implementation of IAS 40:: Does Culture Matter?

    University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

    Author : Emma Nilsson; Moa Svensson; [2009]
    Keywords : IAS 40; culture; risk premium; decision usefulness; fair value;

    Abstract : When fair value accounting was introduced in 2005 it was, and still is, controversial, and accused leaving greater room for subjectivity in the valuation. The aim of this paper is to investigate if culture, via a greater or lesser extent of emphasis on conservatism on the accounting value level, is to influence accounting practice in the fair value valuation when marking-to-model investment property according to IAS 40. READ MORE