Search for dissertations about: "Interest rate risk"

Showing result 21 - 25 of 139 swedish dissertations containing the words Interest rate risk.

  2. 21. Four applications of stochastic processes : Contagious disease, credit risk, gambling and bond portfolios

    Author : Patrik Andersson; Andreas Nordvall Lagerås; Håkan Andersson; Stewart N. Ethier; Stockholms universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; Stochastic processes; Mathematical statistics; Matematisk statistik; Mathematical Statistics; matematisk statistik;

    Abstract : This thesis consists of four papers on applications of stochastic processes. In Paper I we study an open population SIS (Susceptible - Infective - Susceptible) stochastic epidemic model from the time of introduction of the disease, through a possible outbreak and to extinction. The analysis uses coupling arguments and diffusion approximations. READ MORE

  4. 22. Studies in Mortgage Pricing and Finance Theory

    Author : Stefan Toll; Bengt Turner; Thomas Lindh; Timothy Riddiough; Uppsala universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Economics; Mortgage pricing; Finance theory; Reverse mortgages; Optimal loan contracts; Credit risk; Nationalekonomi; Economics; Nationalekonomi;

    Abstract : This thesis consists of three self-contained essays.Essay 1 examines the question of why reverse or participating mortgages have not been as much in demand as predicted. A theoretical framework is derived for evaluating the expected utility associated with a reverse or participating mortgage. READ MORE

  5. 23. Insurance: solvency and valuation

    Author : Jonas Alm; Göteborgs universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; risk aggregation; dependence modeling; solvency capital requirement; market-consistent valuation; market-consistent valuation;

    Abstract : This thesis concerns mathematical and statistical concepts useful to assess an insurer's risk of insolvency. We study company internal claims payment data and publicly available market data with the aim of estimating (the right tail of) the insurer's aggregate loss distribution. READ MORE

  6. 24. Essays on Financial Markets and the Macroeconomy

    Author : Jürg Fausch; Roine Vestman; John Hassler; Ilan Cooper; Stockholms universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Asset pricing; business cycles; DSGE model; macroeconomic risk; monetary policy shocks; recursive preferences; stock market; VAR model; variance decomposition; Economics; nationalekonomi;

    Abstract : Asset pricing implications of a DSGE model with recursive preferences and nominal rigidities. I study jointly macroeconomic dynamics and asset prices implied by a production economy featuring nominal price rigidities and Epstein-Zin (1989) preferences. READ MORE

  7. 25. Population-level consequences of variation

    Author : Lena Wennersten; Anders Forsman; Olof Leimar; Deepa Agashe; Linnéuniversitetet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; colour polymorphism; diversity; establishment success; evolutionary changes; population-level consequences; predation risk; Tetrix subulata; variation; Evolutionary Biology; Evolutionsbiologi;

    Abstract : Consequences of within population variation have recently attracted an increased interest in evolutionary ecology research. Theoretical models suggest important population-level consequences, but many of these predictions still remain to be tested. READ MORE