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Showing result 11 - 15 of 52 essays matching the above criteria.

  1. 11. Consistent Projection of the Balance Sheet : A Holistic Approach to Modelling Interest Rate Risk in the Banking Book

    University essay from KTH/Matematik (Avd.)

    Author : Gabriella Hulström; [2021]
    Keywords : Adjoint algorithmic differentiation; Economic Value of Equity; Interest Rate Risk; Net Interest Income; Risk Management; Adjoint algoritmisk derivering; Ekonomiskt Värde av Eget Kapital; Ränterisk; Räntenetto; Riskhantering;

    Abstract : When modelling risk in the banking book, a simple capital level approach can fail to capture the interactions between different risk measures or risk classes since they are modelled separately. In this thesis we propose a model for projecting the book value of a run-off balance sheet portfolio of fixed and variable rate loans, while also calculating net interest income, economic value of equity, capital requirement and capital cost within the same model. READ MORE

  3. 12. Alternativ användning av skogsmark vid Forssjöområdet : ekonomiska konsekvenser vid olika skötselalternativ

    University essay from SLU/Dept. of Forest Economics

    Author : Gustav Löwenhielm; [2021]
    Keywords : kommun; kassaflödesanalys nuvärde; tätortsnära skog; cash flow analysis; municipality; net present value; PlanWise;

    Abstract : Katrineholms kommun äger och förvaltar skogsmark inom kommunen, varav 263 hektar utgörs av det så kallade Forssjöområdet. En stor del av skogsinnehavet består av och bedrivs som produktionsskog. Området där skogsinnehavet är lokaliserat erbjuder även goda möjligheter för rekreation och friluftsliv. READ MORE

  4. 13. Evaluation of methods for quantifying returns within the premium pension

    University essay from KTH/Matematisk statistik

    Author : Emil Backman; David Petersson; [2020]
    Keywords : Pension; internal rate of return; applied mathematics; big matrix; numerical methods; large eigenvalue problem; finance; risk analysis; extreme value modeling; probability; stochastic modeling; Pension; intern ränta; tillämpad matematik; stora matrismetoder; numeriska metoder; stora egenvärdesproblem; finans; riskanalys; modellering av extrema värden; sannolikhet; stokastisk modellering;

    Abstract : Pensionsmyndigheten's (the Swedish Pensions Agency) current calculation of the internal rate of return for 7.7 million premium pension savers is both time and resource consuming. READ MORE

  5. 14. IRRBB in a Low Interest Rate Environment

    University essay from 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

  6. 15. Valuation of Additional Tier-1 Contingent Convertible Bonds (AT1 CoCo) : Modelling trigger risk in a practical investment setting

    University essay from KTH/Matematisk statistik

    Author : Adrian Djerf; [2020]
    Keywords : AT1; CoCo; Contingent Convertible; Trigger Risk; Bonds; Valuation; Financial Mathematics; Hybrid Capital; AT1; CoCo; Contingent Convertible; Trigger risk; Obligationer; Värdering; Finansiell matematik; Hybridkapital;

    Abstract : Contingent convertible bonds (often referred to as CoCo bonds, or simply CoCos) are a relatively new financial instrument designed to absorb unexpected losses. This instrument became increasingly more common after the financial crisis of 2008, as a way to decrease the risk of insolvency among banks and other financial institutions. READ MORE