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dc.rights.licenseCC-BY-NC-ND
dc.contributor.advisorDajani, K.
dc.contributor.advisorBralten, G.J.
dc.contributor.advisorHofer, M.
dc.contributor.authorHoencamp, J.H.
dc.date.accessioned2018-07-20T17:02:09Z
dc.date.available2018-07-20T17:02:09Z
dc.date.issued2018
dc.identifier.urihttps://studenttheses.uu.nl/handle/20.500.12932/29718
dc.description.abstractThis 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.sponsorshipUtrecht University
dc.format.extent9381946
dc.format.mimetypeapplication/pdf
dc.language.isoen
dc.titleAn analysis on credit-adjusted corporate hedging strategies
dc.type.contentMaster Thesis
dc.rights.accessrightsOpen Access
dc.subject.keywordsFinancial mathematics, Monte Carlo, Interest rate modeling, FX modeling, Hedging
dc.subject.courseuuMathematical Sciences


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