Blar i NTNU Open på forfatter "Laading, Jacob"
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An analysis of Norwegian and American interest rates during turbulent times, and prediction of interest rates in a Heat, Jarrow and Morton Model
Ismail, Kahle Ghareb (Master thesis, 2012)Abstract:In this master thesis the main focus is an analysis of historical interest rates, and the use of historical interest rates in interest rate modeling. The interest rate data used, both in the preliminary analysis ... -
Analyse av risikoen for rente -og aksjeporteføljer med LIBOR Market Modellen
Bull, Bendik (Master thesis, 2015)Dette arbeidet fil først presentere matematikken og teorien bak rente og aksjeopsjoner, og vise noen vanlige modeller. Vi utlederde stokastiske ligningene i LIBOR Market Modellen, og viser hvordan derivater som caps, floor ... -
Analysis of Hedging Portfolios in Turbulent Markets
Svendsen, Susanne (Master thesis, 2008)Two different strategies, one dynamic and one static, were investigated on portfolios consisting of one long index and one long European put (at-the-money or 10% out-of-the-money). Three indices were considered: The MSCI ... -
Analysis of portfolio risk and the LIBOR Market Model
Helgesen, Ole Thomas (Master thesis, 2011)This master thesis focuses on interest rate modeling and portfolio risk analysis. The LIBOR Market Model is the interest rate model chosen to simulate the forward rates in the Norwegian and American market, two very different ... -
Application of a Bayesian Choice Model on Monthly Client Data - at SpareBank 1 SMN
Thommesen, Sverre D (Master thesis, 2015)This paper applies a Bayesian Dynamic Choice model on monthly collected client data at SpareBank 1 SMN in order to examine the rate at which they enter or leave Life- and Danage-insurance. The main goal of the paper is ... -
Backtesting counterparty credit exposure based on the Heath, Jarrow and Morton framework for simulation of interest rates
Sætherø, Anders (Master thesis, 2018)In this thesis a framework for backtesting counterparty credit exposure is developed and implemented. Using the Heath, Jarrow and Morton model for simulation of interest rates, separate models are implemented for risk-neutral ... -
Contrasting broadly adopted model-based portfolio risk measures with current market conditions
Koren, Øystein Sand (Master thesis, 2009)The last two years have seen the most volatile financial markets for decades with steep losses in asset values and a deteriorating world economy. The insolvency of several banks and their negative impact on the economy has ... -
Counterparty Credit Exposure in Interest Rate Derivatives - Investigating the Effect of Collateralization
Liland, Magnus (Master thesis, 2019)Denne rapporten omhandler bruken av en stokastisk rentemodell, basert på LIBOR market models (LMM), til å bestemme prisen til rentederivater, samt risikoen assosiert ved derivatene. Etter å ha etablert grunnleggende konsept ... -
Credit Risk Modelling with Expected Shortfall - A Simulation-based Portfolio Analysis
Osmundsen, Kjartan Kloster (Master thesis, 2016)The Basel Committee's minimum capital requirement function for banks' credit risk is based on a risk measure called Value at Risk (VaR). This thesis performs a statistical and economic analysis of the consequences of ... -
Evaluating Different Simulation-Based Estimates for Value and Risk in Interest Rate Portfolios
Kierulf, Kaja (Master thesis, 2010)This thesis evaluates risk measures for interest rate portfolios. First a model for interest rates is established: the LIBOR market model. The model is applied to Norwegian and international interest rate data and used to ... -
Evaluating the predictive properties of the Markov-switching jump diffusion LIBOR Market Model
Brubak, Truls; Fosse, Eivind Berg (Master thesis, 2017)This thesis investigates the predictive properties of the Markov-switching jump diffusion LIBOR market model. A numerical scheme obtaining forward LIBOR rate forecasts is specified by letting the parameters in a jump ... -
Financial modelling applied to long-horizon savings and pension products.
Stanghelle, Håkon (Master thesis, 2007)his thesis studies financial models applied to valuation and risk measurement applicable to products in the life and pension area. Stock market theory and option pricing are described as a theoretical background. Mathematical ... -
Financial Risk, Risk Appetite and the Macroeconomic Environment
Haugen, Petter (Master thesis, 2006)This thesis seeks to establish a methodology to reveal whether the risk appetite held by investors is dependent on the macroeconomic environment and, if present, to quantify this dependency. To do so a generic model is ... -
Interest rate modeling with applications to counterparty risk
Hegre, Håvard (Master thesis, 2006)This thesis studies the estimation of credit exposure arising from a portfolio of interest rate derivatives. The estimation is performed using a Monte Carlo simulation. The results are compared to the exposure obtained ... -
Market Risk in Turbulent Markets
Børter, Martin (Master thesis, 2009)In this thesis we study market risk in turbulent markets over different risk horizons. We construct portfolios which represent possible investments for a life assurance fund. The portfolios consist of equities, fixed income ... -
Modeling collateralized debt obligations: A copula approach
Sætre, Tormod (Master thesis, 2007)This master thesis gives an introduction to collateralized debt obligations (CDOs), and presents three models for pricing CDO tranches - The Vasicek model, which is considered to be the standard market model, the double ... -
Modelling risk in multi asset-class portfolios
Schmelck, Anders (Master thesis, 2010)Using a simulation based model, with the Black-Scholes framework for equity andThe LIBOR Market Model for interest rates, we study market risk in multi assetclassportfolios, with static and dynamic weighting. The risk ... -
Multi-Factor Interest Rate Models and Portfolio Management within Life Insurance Companies in Low-Rate Environments
Stranden, Eirik Aalvik (Master thesis, 2016)In this Master's thesis we study the equity market and the two multi-factor interest rate models Heath-Jarrow-Morton model (HJM) and the LIBOR market model (LMM) on the Norwegian, European and US interest rate market. These ... -
Multifactor Interest Rate Models in Low-Rate Environments
Hansen, Oyvind Grande (Master thesis, 2013)This thesis studies a multi-factor Heath-Jarrow-Morton model and a LIBOR mar-ket model on the Norwegian, European and US interest rate market. The mainconcerns are the low-rate environment and exposure to negative interest ... -
Multifactor Interest Rate Models in Low-Rate Environments
Hansen, Øyvind Grande (Master thesis, 2013)This thesis studies a multi-factor Heath-Jarrow-Morton model and a LIBOR mar- ket model on the Norwegian, European and US interest rate market. The main concerns are the low-rate environment and exposure to negative interest ...