Search for dissertations about: "Swap spread"

Found 3 swedish dissertations containing the words Swap spread.

  1. 1. Empirical studies of financial asset returns

    Author : Sonnie Karlsson; Lunds universitet.; Lund University.; [2008]
    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

  2. 2. Insurance: solvency and valuation

    University dissertation from Göteborg : Chalmers University of Technology

    Author : Jonas Alm; Göteborgs universitet.; Gothenburg University.; [2015]
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; risk aggregation; dependence modeling; solvency capital requirement; 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

  3. 3. Term structure estimation based on a generalized optimization framework

    University dissertation from Linköping : Linköping University Electronic Press

    Author : Marcel Ndengo Rugengamanzi; Linköpings universitet.; Linköpings universitet.; [2013]
    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