dc.rights.license | CC-BY-NC-ND | |
dc.contributor.advisor | Dajani, K. | |
dc.contributor.advisor | Bralten, G.J. | |
dc.contributor.advisor | Hofer, M. | |
dc.contributor.author | Hoencamp, J.H. | |
dc.date.accessioned | 2018-07-20T17:02:09Z | |
dc.date.available | 2018-07-20T17:02:09Z | |
dc.date.issued | 2018 | |
dc.identifier.uri | https://studenttheses.uu.nl/handle/20.500.12932/29718 | |
dc.description.abstract | This thesis quantifies the potential gains and risks that are associated to rolling hedging strategies related to interest rate- and cross-currency swaps. The investigation is performed using a multi-currency interest rate model in combination with a foreign exchange rate model. Through Monte Carlo methods, potential future market scenarios are simulated, which allow for the composition of risk-profiles associated to different rolling strategies. | |
dc.description.sponsorship | Utrecht University | |
dc.format.extent | 9381946 | |
dc.format.mimetype | application/pdf | |
dc.language.iso | en | |
dc.title | An analysis on credit-adjusted corporate hedging strategies | |
dc.type.content | Master Thesis | |
dc.rights.accessrights | Open Access | |
dc.subject.keywords | Financial mathematics, Monte Carlo, Interest rate modeling, FX modeling, Hedging | |
dc.subject.courseuu | Mathematical Sciences | |