Search for dissertations about: "Swap spread"

Found 5 swedish dissertations containing the words Swap spread.

  2. 1. Empirical studies of financial asset returns

    Author : Sonnie Karlsson; Lunds universitet; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Asset pricing; Riskaversion; Consumption; Capital investments; Multi-moment; Non-linear; International capital markets; Credit risk; Swap spread; Liquidity;

    Abstract : This dissertation aims at understanding differences in rates of returns on financial assets, both in the cross-section and over time. It contains four chapters. The first paper is "Non-separable preferences and risk aversion: Results from the UK". READ MORE

  4. 2. Essays on Corporate Growth and Corporate Credit Risk

    Author : Mehmet Caglar Kaya; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Gazelle Growth; Entrepreneurship; Acquisition; Competition; Venture Capital Finance; Policy; Credit Risk; Credit Default Swap; CDS Spread; Stock Illiquidity; Information Asymmetry; Market Interconnectedness; Capital Structure; Leverage; Credit Ratings; Accounting;

    Abstract : This doctoral dissertation contributes to research on financial economics. It consists of an overall introduction and three independent papers. The first paper, “A Theory of Gazelle Growth: Competition, Venture Capital Finance, and Policy,” examines how young fast-growing small firms, called gazelles, develop. READ MORE

  5. 3. Essays on term structure and monetary policy

    Author : Sven Skallsjö; Handelshögskolan i Stockholm; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Abstract : This dissertation treats two different themes. The first, addressed in Chapter 1, regards the pricing of interest rate swaps. The second, studied in the remaining two chapters, regards the implications of monetary policy for the term structure of interest rates. READ MORE

  6. 4. 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

  7. 5. Term structure estimation based on a generalized optimization framework

    Author : Marcel Ndengo Rugengamanzi; Torbjörn Larsson; Jörgen Blomvall; Kristoffer Hägglöf; Linköpings universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES;

    Abstract : The current work is devoted to estimating the term structure of interest rates based on a generalized optimization framework. To x the ideas of the subject, we introduce representations of the term structure as they are used in nance: yield curve, discount curve and forward rate curve. READ MORE