Essays about: "measuring volatility"
Showing result 1 - 5 of 30 essays containing the words measuring volatility.
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1. Modelling Proxy Credit Cruves Using Recurrent Neural Networks
University essay from KTH/Matematisk statistikAbstract : Since the global financial crisis of 2008, regulatory bodies worldwide have implementedincreasingly stringent requirements for measuring and pricing default risk in financialderivatives. Counterparty Credit Risk (CCR) serves as the measure for default risk infinancial derivatives, and Credit Valuation Adjustment (CVA) is the pricing method used toincorporate this default risk into derivatives prices. READ MORE
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2. Capturing time variation within systemic risk estimation
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : Systemic risk can be defined as the risk to the whole financial system. Financial institutions may contribute more or less to this risk, and measuring the systemic risk contributions of institutions is of central importance for regulators. READ MORE
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3. Exploring the Factors Contributing to Bond Yield Spreads : A Garch Approach
University essay from Linnéuniversitetet/Institutionen för nationalekonomi och statistik (NS)Abstract : The goal of this study is to explore which factors contribute to bond yield spreads. To achieve this goal, this study utilizes a variety of GARCH models to find the best-fitting models to describe our data samples of callable, and non-callable bonds. READ MORE
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4. On the Resilience of High-ESG Firms: An Event Study of the Russo-Ukrainian War
University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansieringAbstract : This study aims to deepen our understanding of the relationship between social capital and firm performance during times of crisis. To achieve this, we use ESG scores as a proxy for social capital and investigate whether European high-ESG firms outperformed low-ESG firms during the Russo-Ukrainian War, which we argue constitutes an exogenous market shock. READ MORE
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5. An analysis of how price fluctuations for commodities impact performance of Swedish industrial companies
University essay from KTH/Matematisk statistikAbstract : The relationship between performance for the Swedish industry and changesin prices and volatility of commodities has been examined using multiple linearregression. The study focuses on how commodity price fluctuations correlate withgross profit growth, measuring company performance. READ MORE