Factors driving the Euro senior funding costs for Swedish Banks
(2015) FMS820 20151Mathematical Statistics
- Abstract
- In this thesis we show that the best forecast for near future yield curves are
performed with a full specication of our chosen model and for far future yield
curves the forecast is better with a partial specication of the model. We conclude
that the driving factors for the banks' yield curves are not as closely
related to Swedbank's as amongst the other peers which show that Swedbank
stand out in terms of dynamics for the yield curve. We also show why we have
chosen a Nelson Siegel model with ve driving factors by performing a PCA
and we illustrate how we have estimated the 47 free parameters in the model
with a Kalman lter and an optimization algorithm in matlab. If that was not
enough we also validate our model by simulating... (More) - In this thesis we show that the best forecast for near future yield curves are
performed with a full specication of our chosen model and for far future yield
curves the forecast is better with a partial specication of the model. We conclude
that the driving factors for the banks' yield curves are not as closely
related to Swedbank's as amongst the other peers which show that Swedbank
stand out in terms of dynamics for the yield curve. We also show why we have
chosen a Nelson Siegel model with ve driving factors by performing a PCA
and we illustrate how we have estimated the 47 free parameters in the model
with a Kalman lter and an optimization algorithm in matlab. If that was not
enough we also validate our model by simulating yields and checking that our
estimates correspond to the parameters used in the simulation. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/7359604
- author
- Spångberg, Axel and Landén, Philip
- supervisor
- organization
- course
- FMS820 20151
- year
- 2015
- type
- H2 - Master's Degree (Two Years)
- subject
- language
- English
- id
- 7359604
- date added to LUP
- 2015-06-16 15:13:40
- date last changed
- 2015-06-18 14:04:28
@misc{7359604, abstract = {{In this thesis we show that the best forecast for near future yield curves are performed with a full specication of our chosen model and for far future yield curves the forecast is better with a partial specication of the model. We conclude that the driving factors for the banks' yield curves are not as closely related to Swedbank's as amongst the other peers which show that Swedbank stand out in terms of dynamics for the yield curve. We also show why we have chosen a Nelson Siegel model with ve driving factors by performing a PCA and we illustrate how we have estimated the 47 free parameters in the model with a Kalman lter and an optimization algorithm in matlab. If that was not enough we also validate our model by simulating yields and checking that our estimates correspond to the parameters used in the simulation.}}, author = {{Spångberg, Axel and Landén, Philip}}, language = {{eng}}, note = {{Student Paper}}, title = {{Factors driving the Euro senior funding costs for Swedish Banks}}, year = {{2015}}, }