Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 53 for “"Fixed income"”.
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The impact of structured investment products with fixed-income characteristics on the performance of fixed-income portfolios
… impact which structured investment products with fixed-income characteristics have on fixed-income portfolios. The study was conducted over a twenty-one year period between 1 January 1994 and 31 December 2014 whereby given the nature of the data required for backtesting, a quantitative analysis …
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CPPI for fixed income securities : empirical evidence in Canada
… an asset allocation and risk management tool for fixed income securities. Many strategies exist to realize this objective. We propose to use Constant Proportion Portfolio Insurance (CPPI). Specifically, we want to see if CPPI can be used to manage a Canadian bond portfolio so as to reduce losses …
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Three Essays on Individual Investors’ Early Exercise Behavior in the Fixed-Income Market
Diese Arbeit untersucht, wie Privatinvestoren vorzeitige Kündigungsrechte in strukturierten Zinsprodukten nutzen. Als Grundlage für die Analyse dient hierbei ein neuartiger, nicht öffentlich verfügbarer Datensatz, der über einen Zeitraum von circa 13 Jahren Entscheidungen von mehr als 800.000 …
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Fixed income portfolio construction: a Bayesian approach for the allocation of risk factors
… Bayesian approach for the construction of active fixed income portfolios. Within the investment grade universe, the equilibrium returns are approximated by the yield levels implied by the market prices and these are blended together with investment views. In parallel, risk factors are preferred …
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Alternative fixed income indexation: A study on fundamental indexes in the South African corporate bond market
… indexation and applies it to the corporate fixed income section of the South African market. The main aim is to determine whether the significant outperformance, which has been found in global fixed income markets as well as global and domestic equity markets, will hold true when the method …
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The sensitivity of returns of non-bank financial institutions to the fixed income and equity markets
… non-bank financial institutions have with the fixed income and equity markets, and sheds new light on their long-run interaction. For the insurance market, interest rate movements seem to be just as important as the stock market in explaining the variation of insurance portfolio returns in the …
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Master lease & leaseback of government owned real estate : a model for a fixed income investment product
… for syndicating these investments into rate-able fixed income products, similar to municipal bonds or CMBS. These investments and the associated participation instruments create arbitrage opportunities for underwriters and syndicators of Government Lease Backed investments, and generate capital …
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Risks And returns Of fixed income arbitrage strategies in varying economic environments : a model based on empirical considerations
I propose a discrete time model of financial markets in which an arbitrageur has investment opportunities but faces a number of financial constraints. Investment opportunities arise when the price discrepancy between a pair of similar assets becomes large enough. I propose an innovative way to …
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Investigate and Analyze the Impact of Electronification in Fixed Income Bond Markets and Equity Stock Markets via ARIES Framework
… electronic trading is gaining prominence in the fixed income markets and is contributing to changes in its market structure, price discovery mechanisms, and strategies to access untapped and alternative liquidity sources. New electronic trading platforms, venues, and entrants have emerged that …
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An Asymptotic Principal Components Performance Measurement for Mutual Funds With Emphasis on Fixed Income Funds Relative to Balanced and Stock Funds
This study attempts first to analyze the performance of bond, balanced, and stock mutual funds relative to the market and each other. It builds a performance measurement model based upon the Connor-Korajczyk Jensen-like measure. This model enables one to avoid some of the problems associated with …
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The Informational Value of Corporate Credit Ratings
… prices of underlying credit instruments such as fixed-income securities and credit default insurance should change to reflect the new credit risk information. Using data on 246 different major fixed income securities issuers and spanning January 2000 to December 2011, we find that credit default …
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Dislocation
Price dislocations are common in fixed-income markets. I propose a dislocation factor (DIS), the first principle of three fixed-income market dislocations, including covered interest parity, on/off the run spread, and treasury noise measure. DIS surges when the market is under stress and indicates …
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Creating custom ETFs and exploring performance versus peers and the iBoxx index
… by the ECB have led to strong demand for fixed income investments, particularly in Europe. This has increased demand for both active and passive fixed income funds. In this thesis, I review the Markit EUR Corporate Index, iShares (a passive index tracker fund) and several actively managed …
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We know what the CMBS did last summer and why
… the CMBS market with other comparative fixed-income securities, this thesis establishes that there were specific characteristics of the CMBS market that made it more vulnerable to the market turmoil than other fixed-income securities. First, the thesis seeks to clarify the series of …
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Islamic finance: a low risk, value-adding alternative
… to the FTSE Shariah All Share Index. Within the fixed income asset class, the Barclays Global Aggregate Bond Index and the Merrill Lynch Global Bond Index were compared to the Dow Jones Sukuk Index. In respect of the global and South African equity and the global fixed income, a sample set of …
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Eficiência dos fundos de investimento durante o cenário de crise político-econômica no Brasil entre 2012 e 2016
… the efficiency of investment funds in stocks, fixed income and multi-market on the current Brazilian scenario of political-economic crisis. The Data Envelopment Analysis was used to measure the efficiency level of 1.536 investment funds between 2012 and 2016, using as input the administration …
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A Research on Corporate Bond Defaults in the Chinese Market
Using data from the Chinese fixed income market, this thesis builds up a logistic regression model mainly consisting of both financial condition variables and financial report quality variables. The analysis suggests the degree of effect for different variables and thus provides a reference for …
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Development and Calibration of Relative Value Trading Models
… development and calibration of relative value fixed income trading models. The first chapter provides some background into the models studied, chapters two and three focus on calibration problems relating to an earlier version of the model: the relative value Nelson Siegel and Svensson model …
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A Study of Conditional Volatilities in Financial Markets using Generalized Conditional Heteroscedasticity Jump Models
… volatilities and co-volatilities in the fixed income and equities market using jump augmented stochastic volatility models. The results highlights that the fact that jumps are inherent in financial markets and have implications for the dynamics of volatilities and co-volatilities of …
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