Essays about: "nelson-siegel"

Showing result 1 - 5 of 9 essays containing the word nelson-siegel.

  1. 1. Debt Portfolio Optimization at the Swedish National Debt Office: : A Monte Carlo Simulation Model

    University essay from KTH/Matematisk statistik

    Author : Felix Greberg; [2020]
    Keywords : Public Debt Management; Financial Mathematics; Portfolio Optimization; Ornstein–Uhlenbeck; Vector Autoregression; Term Structure Evolution; Nelson-Siegel; R; Monte Carlo simulation; Skuldförvaltning; Finansiell matematik; Portföljoptimering; Ornstein–Uhlenbeck; Vector autoregression; Ränteutvecklingsmodeller; Nelson-Siegel; R; Monte Carlo-simulering;

    Abstract : It can be difficult for a sovereign debt manager to see the implications on expected costs and risk of a specific debt management strategy, a simulation model can therefore be a valuable tool. This study investigates how future economic data such as yield curves, foreign exchange rates and CPI can be simulated and how a portfolio optimization model can be used for a sovereign debt office that mainly uses financial derivatives to alter its strategy. READ MORE

  2. 2. IRRBB in a Low Interest Rate Environment

    University essay from KTH/Matematisk statistik; KTH/Matematisk statistik

    Author : Simon Berg; Victor Elfström; [2020]
    Keywords : IRRBB; Gap Risk; Basis Risk; Option risk; Interest rate; Yield Curve; Nelson Siegel Svensson; PCA; Cholesky Decomposition; EBA; EVE; NII; Risk; Interest rate risk; IRRBB; Gaprisk; Basrisk; Optionsrisk; Ränta; Avkastningskurva; Nelson Siegel Svensson; PCA; Cholesky Decomposition; EBA; EVE; NII; Risk; Ränterisk;

    Abstract : Financial institutions are exposed to several different types of risk. One of the risks that can have a significant impact is the interest rate risk in the bank book (IRRBB). In 2018, the European Banking Authority (EBA) released a regulation on IRRBB to ensure that institutions make adequate risk calculations. READ MORE

  3. 3. Duration-Weighted Carbon Footprint Metrics and Carbon Risk Factor for Credit Portfolios

    University essay from KTH/Matematisk statistik

    Author : Erik Hendey Bröte; [2020]
    Keywords : Factor models; carbon footprint; risk factors; carbon risk; Faktormodeller; koldioxidsavtryck; riskfaktorer; kolrisk;

    Abstract : Current standard carbon footprint metrics attribute responsibility for a firm’s green house gas (GHG) emitting activities equally between an entity’s equity and debt. This study introduces a set of novel duration-weighted metrics which take into consideration the length of financing provided. READ MORE

  4. 4. An Independent Dynamic Latent Factor Approach to Yield Curve Modeling

    University essay from Göteborgs universitet/Graduate School

    Author : Robin Rohlén; [2018-07-04]
    Keywords : ;

    Abstract : MSc in Finance.... READ MORE

  5. 5. The visible hand of the central bank: Evidence from the ECB's Corporate Sector Purchase Program

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Hampus Persson; Nina Lundén; [2017]
    Keywords : Central bank supply shocks; unconventional monetary policy; asset purchase programs; corporate credit spreads;

    Abstract : On March 10, 2016 the ECB surprised financial markets by announcing the latest measure taken under its unconventional asset purchase programs, the CSPP. Through this program the ECB is purchasing corporate bonds and aims to support bond valuations through supply shocks. READ MORE