Essays about: "sensitivity of market returns"

Showing result 1 - 5 of 21 essays containing the words sensitivity of market returns.

1. 1. Navigating the Volatility Adjustment in Solvency II : Portfolio Optimization for Balance Sheet Stability

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

   Author : Max Thorendal; [2023]
   Keywords : ;

   Abstract : This thesis investigates volatility adjustment from the Solvency II regulation and portfolio allocation methods for pension- and life insurance companies aiming to maintain a stable balance sheet. The volatility adjustment is a component added to the risk-free rate for discounting the present value of future liabilities, and it is calculated monthly based on the spread levels in the fixed-income market. READ MORE

3. 2. The Black-Litterman Model: An Investigation of Confidence

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Per Malm; [2021]
   Keywords : Keywords: Black-Litterman model; Idzorek’s extension; Confidence; Sensitivity; Business and Economics;

   Abstract : This paper examines Idzorek’s extension of the Black-Litterman model with respect to confidence levels and makes a general comparison with the Canonical Reference Model. To test Idzorek’s method a global equities portfolio is constructed using assets representing nine different countries consisting in total of 80. READ MORE

4. 3. What Drives Bank Stock Returns? An Analysis Using Factor Models

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Michael Bailey; Josef Matyas; [2019]
   Keywords : Banks; Asset pricing; Factor models; Interest rate exposure;

   Abstract : What drives bank returns and how different are they compared to non-financial firms? Have banks' risk exposures changed since the great financial crisis? We construct Fama-French type factors of U.S. READ MORE

5. 4. The Sensitivity of Banks’ Stock Returns to Interest Rate Exposure : How Major Swedish Banks’ Stock Returns Are Affected by Changes in Interest Rates and in the Slope of the Yield Curve

   University essay from Linköpings universitet/Företagsekonomi; Linköpings universitet/Filosofiska fakulteten

   Author : Linda Strömberg; Matilda Karlsson; [2019]
   Keywords : Banks; stock returns; interest rates; repo rate; STIBOR; SSVX; SE GVB; yield curve slope; cash flows; profitability; interest rate margin;

   Abstract : Purpose: The purpose of this study is to examine how changes in long and short interest rates as well as in the slope of the yield curve affect the stock returns of the four major Swedish banks; Svenska Handelsbanken, Nordea Bank, Swedbank, and Skandinaviska Enskilda Banken. Further, the aim of the research is to compare these findings to how the banks perceive that such changes affect their stock returns. READ MORE

6. 5. Interest Rate Sensitivity of Real Estate Companies Income Statements

   University essay from Lunds universitet/Företagsekonomiska institutionen

   Author : Sebastian Lindeborg; Karl Ågren; Samuel Hammarling; [2018]
   Keywords : Real estate companies; repo rate; income statement sensitivity; pricing of debt; mixed methods research; Business and Economics;

   Abstract : Title: Interest Rate Sensitivity of Real Estate Companies’ Income Statements - A Study on the Swedish Market in a Low Rate Environment Seminar date: 11th of January 2018 Course: FEKH89, Bachelor Degree Project in Financial Management, Undergraduate Level Authors: Karl Ågren, Samuel Hammarling and Sebastian Lindeborg Advisor: Anamaria Cociorva Key words: Real estate companies, repo rate, income statement sensitivity, pricing of debt, mixed methods research Purpose: The purpose of this study is to empirically investigate the sensitivity of Swedish real estate companies’ income statements towards a 100 basis point increase in the Riksbank’s repo rate. Methodology: A mixed methods research approach is employed. READ MORE