Essays about: "thesis on contracts performance"

Showing result 11 - 15 of 51 essays containing the words thesis on contracts performance.

  1. 11. Improving term structure measurements by incorporating steps in a multiple yield curve framework

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Gustav Villwock; Clara Rydholm; [2022]
    Keywords : Finance; Interest rates; Term structure measurement; Monte Carlo; Financial mathematics; Yield curve; Policy rates; Multiple yield curve framework; Stochastic programming; Risk factor modeling; Hedging; Performance attribution; Principle component analysis; GARCH; Maximum likelihood estimation; Copula;

    Abstract : By issuing interest rate derivative contracts, market makers such as large banks are exposed to undesired risk. There are several methods for banks to hedge themselves against this type of risk; one such method is the stochastic programming model developed by Blomvall and Hagenbjörk (2022). READ MORE

  3. 12. On Modelling Ancillary Services Markets: A Time Series Approach

    University essay from KTH/Matematik (Avd.)

    Author : Erik Murray; [2022]
    Keywords : ARIMA; SARIMA; GARCH; load balancing; ancillary services; electrical grids; FCR-D; ARIMA; SARIMA; GARCH; lastbalans; stödtjänster; kraftnät; FCR-D 2;

    Abstract : So-called ancillary services (AS) have always been critically important for the functioning of an electrical grid, and are becoming even more so with the advent of renewable energy sources. Ancillary services are traded on open markets, and trading on these markets is arguably even more difficult to model than on traditional markets. READ MORE

  4. 13. Hierarchical Portfolio Allocation with Community Detection

    University essay from KTH/Matematik (Avd.)

    Author : Kiar Fatah; Taariq Nazar; [2022]
    Keywords : Portfolio Allocation; Hierarchical Clustering; Graph Theory; Community Detection; Modern Portfolio Theory; Portföljallokering; Hierarkisk klustring; Grafteori; Community Detection; Modern Portföljteori;

    Abstract : Traditionally, practitioners use modern portfolio theory to invest optimally. Its appeal lies in its mathematical simplicity and elegance. However, despite its beauty, the theory it is plagued with many problems, which are in combination called the Markowitz curse. READ MORE

  5. 14. Estimating the Expected Pay-out of Earnout Contracts in Private Acquisitions

    University essay from KTH/Matematik (Avd.)

    Author : Adam Wuilmart; Erik Harrysson; [2022]
    Keywords : Earnout Contracts; Valuation; Mergers Acquisitions; Private Equity; Monte Carlo Simulation; Contingent Considerations; Tilläggsköpeskilling; Värdering; Bolagsförvärv; Black-Scholes; Monte Carlo Simulering; Optioner;

    Abstract : The growth of private equity, as well as consolidation trends across other industries, have produced a strong and vibrant mergers and acquisitions market. A challenge during these acquisitions is information asymmetry, which makes agreeing on the transaction price a challenge. READ MORE

  6. 15. Probability of Default Term Structure Modeling : A Comparison Between Machine Learning and Markov Chains

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

    Author : Hugo Englund; Viktor Mostberg; [2022]
    Keywords : Machine Learning; Deep Neural Networks; XGBoost; Probability of Default; Term Structure Modeling; IFRS 9; Maskininlärning; Djupa neuronnät; XGBoost; Fallisemangsrisk; Terminsstruktursmodellering; IFRS 9;

    Abstract : During the recent years, numerous so-called Buy Now, Pay Later companies have emerged. A type of financial institution offering short term consumer credit contracts. As these institutions have gained popularity, their undertaken credit risk has increased vastly. Simultaneously, the IFRS 9 regulatory requirements must be complied with. READ MORE