Blar i NTNU Open på forfatter "Pimentel, Rita"

Viser treff 1-14 av 14

    • A Novel Approach to Predicting Interest Rates using PCA & Quantile Regression 

      Parashar, Abhirohan (Master thesis, 2021)
      Denne masteroppgaven forsøker å utforske renterisiko predikeringsevnen til en ny modell som benytter seg av kjente verktøy innad i fagområdet. For å kontrollere renterisiko benyttes ofte Value-at-Risk (VaR) estimeringsteknikker, ...

    • Capacity optimization of an innovating firm 

      Hagspiel, Verena; Kort, Peter M.; Nunes, Clàudia; Pimentel, Rita; Støre, Kristian (Peer reviewed; Journal article, 2021)
      This article considers an incumbent's product innovation decision within an uncertain framework, where the firm decides whether to continue selling the established product. The model being dynamic allows to analyze the ...

    • Disentangling determinants of CDS spreads: A machine learning approach 

      Egeli, Martin; Grimsmo, Anniken Skeisvoll (Master thesis, 2022)
      I denne avhandlingen analyseres determinantene til bedrifters credit default swaps (CDS), ved å bruke et globalt utvalg av 240 unike CDS-er fra 2010 til 2020. Vi bruker en systematisk tilnærming med variabelseleksjons-metoden ...

    • How have quantitative easing influenced the credit risk of commercial banks in the US? Evidence from the CDS market. 

      Ajer, Anders Evju; Bøhler, Johannes Høva (Master thesis, 2021)
      Denne artikkelen analyserer effekten av kvantitative lettelser på kredittrisiko i den amerikanske banksektoren. Under finanskrisen i 2008 var renten nær null og Federal Reserve (FED) trengte et nytt verktøy for å motvirke ...

    • Missing Pieces of the Greenium Puzzle: Time Variations and Issuer Characteristics 

      Kristoffersen, Amalie Heitmann; Larsen, Maren; Xu, Catherine (Master thesis, 2022)
      Denne studien undersøker eksistensen og forklarende faktorer av et grønt premium, et greenium, for selskapsobligasjoner i førstehåndsmarkedet ved å bruke data fra perioden 2013 til 2021. Greeniumet kvantifiseres ved å sette ...

    • A novel methodology to classify test cases using natural language processing and imbalanced learning 

      Tahvili, Sahar; Hatvani, Leo; Ramentol, Enislay; Pimentel, Rita; Afzal, Wasif; Herrera, Francisco (Peer reviewed; Journal article, 2020)
      Detecting the dependency between integration test cases plays a vital role in the area of software test optimization. Classifying test cases into two main classes – dependent and independent – can be employed for several ...

    • Predicting interest rate distributions using PCA & quantile regression 

      Pimentel, Rita; Risstad, Morten; Westgaard, Sjur (Peer reviewed; Journal article, 2022)
      Principal component analysis (PCA) is well established as a powerful statistical technique in the realm of yield curve modeling. PCA based term structure models typically provide accurate fit to observed yields and explain ...

    • Quasi-analytical solution of an investment problem with decreasing investment cost due to technological innovations 

      Nunes, Cláudia; Oliveira, Carlos; Pimentel, Rita (Peer reviewed; Journal article, 2021)
      In this paper we address, in the context of real options, an investment problem with two sources of uncertainty: the price (reflected in the revenue of the firm) and the level of technology. The level of technology impacts ...

    • The solution to a differential-difference equation arising in optimal stopping of a jump-diffusion process 

      Nunes, Cláudia; Pimentel, Rita; Prior, Ana (Peer reviewed; Journal article, 2022)
      In this paper we present a solution to a second order differential–difference equation that occurs in different contexts, specially in control engineering and finance. This equation leads to an ordinary differential equation, ...

    • sOrTES: A Supportive Tool for Stochastic Scheduling of Manual Integration Test Cases 

      Tahvili, Sahar; Pimentel, Rita; Afzal, Wasif; Ahlberg, Marcus; Fornander, Eric; Bohlin, Markus (Peer reviewed; Journal article, 2019)
      The main goal of software testing is to detect as many hidden bugs as possible in the final software product before release. Generally, a software product is tested by executing a set of test cases, which can be performed ...

    • Technology adoption in a declining market 

      Hagspiel, Verena; Huisman, Kuno J.M.; Kort, Peter M.; Lavrutich, Maria; Nunes, Cláudia; Pimentel, Rita (Peer reviewed; Journal article, 2020)
      Rapid technological developments are inducing the shift in consumer demand from existing products towards new alternatives. When operating in a declining market, the profitability of incumbent firms is largely dependent ...

    • The green halo debt effect 

      Forfot, Jonas Sjong; Fosse, Henrik Giske (Master thesis, 2021)
      I denne oppgaven undersøker vi hypotesen om at utstedelse av grønne obligasjoner utgjør et risikoreduserende signal om klimaansvar. Især tester vi om obligasjonsutstederes utestående gjeld opplever positive prisskift ved ...

    • The influence of information asymmetry and climate risk on the nexus between ESG and idiosyncratic risk 

      Larsen, Øyvind; Rise, Jacob; Wetjen, Magnus Kjærstad (Master thesis, 2021)
      Denne studien undersøker hvordan asymmetrisk informasjon og klimarisiko påvirker forholdet mellom ESG og selskapsspesifikk risiko. Vi bruker et omfattende datasett bestående av 4,886 selskaper i perioden fra 2008 til 2018 ...

    • X Hedging: An Explainable Artificial Intelligence Hedging Framework 

      Aaslund, Bjørn André; Berge, Johannes (Master thesis, 2022)
      Vi utvikler et rammeverk for sikring (eng: hedging) av finansielle opsjoner. Rammeverket bruker nye metoder innen kunstig intelligens, er mulig å forklare, og tilpasselig til ulike markedsmodeller, markedsfriksjoner, og ...