Essays about: "risk sensitivities"

Showing result 6 - 10 of 17 essays containing the words risk sensitivities.

  1. 6. Sensitivity Matching Through Market Power: Bank Hedging in the Age of Low Interest Rates

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Edvin Landvik; Eric Ellsäter; [2020]
    Keywords : Maturity Transformation; Risk Exposure; Interest Rate Risk; Financial Crisis; Maturity Mismatch;

    Abstract : We replicate the paper of Drechsler et al. (2017a) who find that banks are able to hedge against interest rate risk exposure through maturity transformation. Our results confirm their findings prior to the financial crisis that the interest sensitivities of income and expenses closely follow one another, resulting in an insensitive ROA. READ MORE

  3. 7. Risk factors impact on the P&L

    University essay from KTH/Matematisk statistik

    Author : Khawla Gougas; [2020]
    Keywords : Profit and Loss P L ; risk factors; Greeks;

    Abstract : Profit and Loss (P&L) explain analysis is an income statement produced by Product Control Team for traders to control the daily fluctuation in the value of a portfolio of trades to the root causes of the changes. This daily income provides users with a coherent breakdown of the drivers of P&L movements between two points in time with reference to a selected number of easily understandable pricing factors. READ MORE

  4. 8. Range-based Wireless Sensor Network Localization for Planetary Rovers

    University essay from Luleå tekniska universitet/Rymdteknik

    Author : August Svensson; [2020]
    Keywords : SLAM; Sensor Networks; Interplanetary Rovers; Space Exploration; Simulation;

    Abstract : Obstacles faced in planetary surface exploration require innovation in many areas, primarily that of robotics. To be able to study interesting areas that are by current means hard to reach, such as steep slopes, ravines, caves andlava tubes, the surface vehicles of today need to be modified or augmented. READ MORE

  5. 9. Estimation methods for Asian Quanto Basket options

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : David Adolfsson; Tom Claesson; [2019]
    Keywords : Monte Carlo simulation; Estimation; Option; Taylor expansion; Sensitivities; Price interpolation; Grid;

    Abstract : All financial institutions that provide options to counterparties will in most cases get involved withMonte Carlo simulations. Options with a payoff function that depends on asset’s value at differenttime points over its lifespan are so called path dependent options. READ MORE

  6. 10. Measuring the Risk-neutral Probability Distribution of Equity Index Options

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Gustav Dackner; Linus Falk; [2019]
    Keywords : ;

    Abstract : The focus of this master thesis is to develop a model that measures the risk-neutral probability distributionof the future value of a portfolio consisting of options on the S&P 500 index. The cornerstone of the model is an explicit and thorough construction of the local volatility surface. The parametric model of Coleman etal. READ MORE