Especially statistical arbitrage is explained in further detail and major performance measurement ratios are presented. In the second part, I am going to introduce a semi-variance model for statistical arbitrage. The model is compared to the standard Garch model, which is so often used in daily option trading, derivate pricing and risk management.
Davide Pirino Novikov Yurii, "What are the country specific factors that influence the foreign direct investment? Vincenzo Farina Fu Yite, "The inductive research of the change in decision-making of family business founder", Advisor: Luca Gnan Vittiglio Emanuele, "Cointegration and trading opportunities: Vincenzo Farina Rognone Lavinia, "Pricing interest rate derivatives in a negative yield environment", Advisor: Regulation and Implementation", Advisor: Ugo Pomante Almonte Stefania, "Assessing the predictive ability of financial variables through a mixed frequency approach: Incorporating new young members", Advisor: Evidence from Eastern European Markets", Advisor: Gianluca Cubadda Svetlomirova Biliana, "Cryptocurrency: Nature and Features", Advisor: Gianni Nicolini Santurelli Simone, "The impact of reputation on banks liquidity risk: Vincenzo Farina Rinaldi Francesco, "Portfolio construction and valuation: Stefano Herzel Luzzi Francesco, "News related to macroeconomic variable as risk factors on equity returns: Evidence from Real Estate Investment vehicles", Advisor: Gianluca Mattarocci Fortuna Alice, "Multiple bankin: Construction and Dynamics", Advisor: A numerical implementation of the default waterfall", Advisor: Gianluca Mattarocci Brescia Mauro, "The optimal capital structure of the firm with taxes, bankruptcy costs and stochastic volatility", Advisor: Evidence from European Stock Exchanges", Advisor: Gianluca Mattarocci Sajadi Zahra, "A review on the impact of venture capital on family businesses", Advisor: Luca Gnan Serafini Alberto, "Comparative analysis of socially responsible and traditional investments", Advisor: Stefano Herzel Verico Marco, "Eccomi!.
The App for one-to-one volunteerism. From idea generation to fundraising", Advisor: Marianna Brunetti Febo Angelo W.Master in Finance and Banking UPF Course Descriptions Olin Foundation Courses FIN B62 Introduction to Finance and capital structure analysis in the context of real world implications.
4 Credits. 5 UPF Spring Deriviatives and Risk Management Master Thesis Your Master Thesis is a significant component of your learning and production.
In general, capital structure arbitrage strategies can be viewed as an example of the interaction between market risk and credit risk, which often leads to an analysis of the relationship between the credit spreads and its proxy credit default swaps (CDS), the .
This thesis analyzes the changes in the asset allocation among university endowments mainly in the USA and Canada, assesses the characteristics of the asset classes and examines the performance of policy portfolios representing the various asset allocation strategies applied by university.
Capital Structure Arbitrage Why does Capital Structure Arbitrage exist? Debt should be priced “fairly” to reflect the true state of the company. There is no fair market valuation of most debt instruments. Furthermore, there is no “correct” market valuation of a company’s assets.
Capital Structure Arbitrage Ričardas Visockis ANR: MSc Investment Analysis UvT Master Thesis Supervisor: caninariojana.com Joost Driessen Date: /04/28 Abstract This paper examines the risk and return of the so-called “capital structure arbitrage”, which .
This thesis examines possible e ects of stricter capital regulations on banks. Following the history of Basel Accords, the focus of analysis lies on capital supervision and control. An issue for controversial discussions among bankers and academics, Basel III is to be implemented in the coming years as a response to the last nancial crisis.