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Showing result 1 - 5 of 14 essays matching the above criteria.
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1. Are European Green Bond Yields Lower Than the Yields of Their Conventional Counterparts?
University essay from Göteborgs universitet/Graduate SchoolAbstract : In this paper, we contribute to the growing literature on sustainable finance by investigating whether European green bonds provide a lower issue yield compared to their conventional counterparts, i.e. if there exists a greenium in the primary market. READ MORE
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2. Modeling Interest Rate Risk in the Banking Book
University essay from KTH/Matematik (Avd.)Abstract : For a long time, being able to model and mitigate financial risk has been a key success factor for institutions. Apart from an internal incentive, legal and regulatory requirements continue to develop which increases the need for extensive internal risk control. READ MORE
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3. Zero Coupon Yield Curve Construction Methods in the European Markets
University essay from KTH/Matematik (Avd.)Abstract : In this study, four frequently used yield curve construction methods are evaulated on a set of metrics with the aim of determining which method is the most suitable for estimating yield curves from European zero rates. The included curve construction methods are Nelson-Siegel, Nelson-Siegel-Svensson, cubic spline interpolation and forward monotone convex spline interpolation. READ MORE
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4. Factor Models For The Term Structure Of STIBOR Rates
University essay from Lunds universitet/Matematisk statistikAbstract : The yield curve of a collection of debt contracts describes the yield of the debt contract as a function of the length-to-maturity of the contract. It turns out that these yield curves provide useful insight about the economy as a whole and can, for example, be used to predict short-term economic downturns. READ MORE
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5. Yield curve estimation models with real market data implementation and performance observation
University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikationAbstract : It always exists different methods/models to build a yield curve from a set of observed market rates even when the curve completely reproduces the price of the given instruments. To create an accurate and smooth interest rate curve has been a challenging all the time. READ MORE