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Showing result 1 - 5 of 39 essays matching the above criteria.

  1. 1. Modelling Proxy Credit Cruves Using Recurrent Neural Networks

    University essay from KTH/Matematisk statistik

    Author : Lucas Fageräng; Hugo Thoursie; [2023]
    Keywords : Deep Neural Networks; Credit Risk; Financial Modelling; LSTM; Credit Default Swaps; Credit Valuation Adjustment; Djupa Neurala Nätverk; Kreditrisk; Finansiell Modellering; LSTM; Kreditswappar; Kreditvärderingsjustering;

    Abstract : Since the global financial crisis of 2008, regulatory bodies worldwide have implementedincreasingly stringent requirements for measuring and pricing default risk in financialderivatives. Counterparty Credit Risk (CCR) serves as the measure for default risk infinancial derivatives, and Credit Valuation Adjustment (CVA) is the pricing method used toincorporate this default risk into derivatives prices. READ MORE

  3. 2. Segmentation and Valuation in  Stockholm Housing Market : Spatial Continuous and Discontinuous Submarkets Evaluating by Hedonic Price Model and XGBoost Model

    University essay from KTH/Fastighetsekonomi och finans

    Author : Xianglin Sun; [2023]
    Keywords : housing market segmentation ; spatial continuity ; hedonic price model ; XGBoost model ; segmentering av bostadsmarknaden ; rumslig kontinuitet ; hedonisk prismodell ; XGBoost modell ;

    Abstract : The housing market segmentation could provide a reference for more targeted policymaking and investment strategies. Although there have been many studies, there are no consistent submarkets delineating methods because of a lack of theoretical support and subjective evaluation. In this paper, two market segmentation methods are introduced. READ MORE

  4. 3. Parameter Stability in Additive Normal Tempered Stable Processes for Equity Derivatives

    University essay from Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

    Author : Eduardo Alberto Alcantara Martinez; [2023]
    Keywords : Parameter Stability; Lévy Processes; Calibration; Volatility Surface; Subordination; Additive Normal Tempered Stable Processes; Stable Distribution; Variance Gamma Process; Normal Inverse Gaussian Process.;

    Abstract : This thesis focuses on the parameter stability of additive normal tempered stable processes when calibrating a volatility surface. The studied processes arise as a generalization of Lévy normal tempered stable processes, and their main characteristic are their time-dependent parameters. READ MORE

  5. 4. The Impact of Mergers & Acquisitions on Credit- and Investment risk. : -Evidence from Sweden

    University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Author : Casper Dahlberg; Max Lundberg; [2022]
    Keywords : Mergers Acquisitions; M A; Credit Risk; Investment Risk; Default Risk; The Institutional Imperative; Merton’s Distance-to-Default model; Merton’s DD; Value-at-Risk; VaR; Tail risk.;

    Abstract : We examine the impact of Mergers & Acquisitions on credit- and investment risk using a sample of 402 acquisitions by 215 Swedish firms from 2000 to 2020. We find significant evidence that, on average, M&A increases the credit risk and inversely decreases the investment risk of the acquiring firm. READ MORE

  6. 5. Listed Property Company Valuation

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Marcus Runström; Ludvig Eksandh; [2022]
    Keywords : Listed Swedish property companies; Closed-end fund puzzle; Noise trader model; NAV premium and discount; Property company valuation;

    Abstract : Among stock market participants, the existence and persistence of deviations between a property company's market capitalization and Net Asset Value are well-recognized. This deviation has a clear link to the premiums and discounts to NAV of closed-end funds, which is referred to as the closed-end fund puzzle in financial economics. READ MORE