Essays about: "market risk rate"

Showing result 21 - 25 of 267 essays containing the words market risk rate.

  1. 21. Measurement of sectoral concentration with multiple factors

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Victor Norrbin; [2022]
    Keywords : Concentration risk; Sector concentration; Credit risk; Time series analysis; Principal component analysis; Monte carlo simulation; Multi-factor model;

    Abstract : One of banks core businesses today is to, in various ways, lend capital to the market and in return receive interest rate. But giving out credit comes with great risk and, therefore, precautions need to be taken. It is impossible to forecast exactly which obligor (borrower) that will default on its exposure. READ MORE

  3. 22. 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

  4. 23. Effects of pharmaceutical excipients on the chemical stability of therapeutic proteins in a parenteral formulation

    University essay from Lunds universitet/Livsmedelsteknik och nutrition (master)

    Author : Emmanuel Gulangayan Deniola; [2022]
    Keywords : Chemical stability; protein degradation; GA-Z; somatropin; pharmaceutical excipients; liquid chromatography; pharmaceutical technology; Chemistry;

    Abstract : Proteins and peptides are widely used for the prevention, management, and cure of various illnesses. This vast therapeutic potential represents a significant portion of the pharmaceutical industry in the form of vaccines, antibodies, enzymes, and other protein-based therapeutics. READ MORE

  5. 24. Neural Networks for Credit Risk and xVA in a Front Office Pricing Environment

    University essay from Lunds universitet/Matematisk statistik

    Author : Isabelle Frodé; Viktor Sambergs; [2022]
    Keywords : xVA; CVA; OTC; Counterparty Credit Risk; Interest Rate Swaps; Hull-White Model; Machine Learning; Artificial Neural Networks; Gated Recurrent Units; Mathematics and Statistics;

    Abstract : We present a data-driven proof of concept model capable of reproducing expected counterparty credit exposures from market and trade data. The model has its greatest advantages in quick single-contract exposure evaluations that could be used in front office xVA solutions. The data was generated using short rates from the Hull-White One-Factor model. READ MORE

  6. 25. Predicting Financial Trader Participation in Fixing Risk Mitigation Cycles : A Machine Learning Approach

    University essay from KTH/Matematisk statistik

    Author : Eric Bojs; [2022]
    Keywords : ;

    Abstract : Financial markets have been crucial in driving capital investments across the world. Anessential piece of these markets is the presence of risk takers, or market speculators, who will hold financial portfolios in hopes of profit. READ MORE