Essays about: "replicating portfolio"
Showing result 1 - 5 of 8 essays containing the words replicating portfolio.
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1. Modeling of non-maturing deposits
University essay from KTH/Matematisk statistikAbstract : The interest in modeling non-maturing deposits has skyrocketed ever since thefinancial crisis 2008. Not only from a regulatory and legislative perspective,but also from an investment and funding perspective.Modeling of non-maturing deposits is a very broad subject. READ MORE
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2. Sustainable Investment Strategies : A Quantitative Evaluation of Sustainable Investment Strategies For Index Funds
University essay from Umeå universitet/Institutionen för matematik och matematisk statistikAbstract : Modern society is faced with the complex and intractable challenge of global warming, along with other environmental issues that could potentially alter our way of life if not managed properly. Is it possible that financial markets and equity investors could have a huge part to play in the transformation towards a greener and more sustainable world? Previous studies about investment strategies regarding sustainability have for the most part been centered around possibly less objective ESG-scores or around carbon and GHG-emissions only, with little or no consideration for water usage and waste management. READ MORE
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3. Modeling Non-Maturing Deposits Using Replicating Portfolio Models
University essay from KTH/Optimeringslära och systemteoriAbstract : In recent years, regulatory and legislative authorities have increased their interest in non-maturing products, more specifically modeling of non-maturing deposits. This increase stems from the ever growing portion of banks funding originating from these products. READ MORE
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4. A framework for modeling the liquidity and interest rate risk of demand deposits
University essay from KTH/Matematisk statistikAbstract : The objective of this report is to carry out a pre-study and develop a framework for how the liquidity and interest rate risk of a bank's demand deposits can be modeled. This is done by first calibrating a Vasicek short rate model and then deriving models for the bank's deposit volume and deposit rate using multiple regression. READ MORE
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5. Demand Deposits : Valuation and Interest Rate Risk Management
University essay from KTH/Entreprenörskap och InnovationAbstract : In the aftermath of the financial crisis of 2008, regulatory authorities have implemented stricter policies to ensure more prudent risk management practices among banks. Despite the growing importance of demand deposits for banks, no policies for how to adequately account for the inherent interest rate risk have been introduced. READ MORE