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Factors driving the Euro senior funding costs for Swedish Banks

Spångberg, Axel and Landén, Philip (2015) FMS820 20151
Mathematical 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:
author
Spångberg, Axel and Landén, Philip
supervisor
organization
course
FMS820 20151
year
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},
}