Search for dissertations about: "liquidity risk"

Showing result 1 - 5 of 23 swedish dissertations containing the words liquidity risk.

  1. 1. Shaping Risk Management in Banks

    Author : Vikash Kumar Sinha; Mats Engwall; Håkan Kullvén; Torkel Strömsten; Marika Arena; Andrea Mennicken; KTH; []
    Keywords : SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; internal audit; risk management; risk culture; Basel models; operational risk; liquidity risk; internrevision; riskhantering; riskkultur; Baselmodellerna; operativ risk; likviditetsrisk; Industrial Economics and Management; Industriell ekonomi och organisation; Företagsekonomi; Business Studies;

    Abstract : The recent financial crisis of 2007-08 was a watershed moment in the history of banking. The unprecedented event led to severe scrutiny by standard setters and regulators on how the business of banking is run. As a result of this strict scrutiny, a wide variety of reforms aimed at the second line of defense (risk management) ensued globally. READ MORE

  2. 2. Essays on the Scandinavian Stock Markets

    Author : Jonas Söderberg; Ghazi Shukur; Carsten Tanggaard; Växjö universitet; []
    Keywords : SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Scandinavian stock markets; Liquidity; Market microstructure theory; Liquidity spillover; Vector autoregression analysis; Forecasting; Out-of-sample tests; Copulas; Risk management; Economics; Nationalekonomi; Economics; Nationalekonomi;

    Abstract : This thesis consists of three self-contained empirical essays related to the stock markets in Denmark, Norway, and Sweden.In Essay I, the time-series dynamics of liquidity on the Scandinavian stock exchanges between January 1993 and June 2005 are studied with liquidity indices. READ MORE

  3. 3. Essays on Derivatives and Liquidity

    Author : Caihong Xu; Lars Nordén; Björn Hagströmer; Hans Byström; Stockholms universitet; []
    Keywords : SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Index options; volatility smile; liquidity; index futures; expiration-day effects; limit order book; trading patience; order flows; gold futures; hedging; Business Administration; företagsekonomi;

    Abstract : This dissertation contains four essays in which derivatives markets are studied in relation to three related topics in financial economics: asset pricing, market microstructure and risk management.Essay I studies the role of relative option liquidity in explaining the volatility smile. READ MORE

  4. 4. Essays on Poverty, Risk and Consumption Dynamics in Ethiopia

    Author : Abebe Shimeles; Göteborgs universitet; Göteborgs universitet; Gothenburg University; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Ethiopia; poverty; income distribution; policy simulations; poverty spells; vulnerability; chronic poverty; consumption risk; transitory shocks; liquidity constraints; poverty traps.;

    Abstract : Paper 1. This paper analysed the state of poverty and income distribution in rural and urban Ethiopia during 1994-2000. Poverty declined from 1994 to 1997, and then increased to 2000. READ MORE

  5. 5. 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