Essays about: "short-rate interest rate"
Showing result 1 - 5 of 14 essays containing the words short-rate interest rate.
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1. Modelling the Exchange Rate: Evidence from the Impacts of Quantitative Easing in Sweden
University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomiAbstract : Quantitative easing, the unconventional monetary policy measure used by many central banks to combat low inflation when interest rates are at the lower bound, has shown to be an effective tool for depreciating the domestic currency. Although the exchange rate is of particular importance in a small open economy as it directly impacts inflation dynamics,trade competitiveness and plays a substantial role in shaping monetary policy, few papers have investigated how the depreciating effect of QE to the exchange rate works. READ MORE
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2. An Attempt at Pricing Zero-Coupon Bonds under the Vasicek Model with a Mean Reverting Stochastic Volatility Factor
University essay from KTH/Matematik (Avd.)Abstract : Empirical evidence indicates that the volatility in asset prices is not constant, but varies over time. However, many simple models for asset pricing rest on an assumption of constancy. READ MORE
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3. Modelling Non-Maturing Deposits: Examining the Impact of Repo Rates and Volume Dynamics on Valuation Using Regression, Time Series Analysis, and Vasicek Methods
University essay from KTH/Matematik (Avd.)Abstract : This thesis focuses on modelling non-maturing deposits (NMD) and has been written in collaboration with Svenska Handelsbanken. The methodology includes regression analysis and time series analysis, with the Repo rate serving as an exogenous variable in both models. READ MORE
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4. 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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5. Pricing of Embedded Options: Implementing Stochastic Interest Rates & Stochastic Spread
University essay from Lunds universitet/Matematisk statistikAbstract : Given the current market climate, in an era of negative interest-rates, the Hull-White model has regained popularity in the eyes of investors. This thesis aims to extend this model to incorporate credit risk, to allow the modelling of credit derivatives such as diff swaps, defaultable corporate bonds and credit default swaps. READ MORE