Blar i NHH Brage på forfatter "Persson, Svein-Arne"
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How do Alternative Asset Classes Affect Performance of Traditional Stock & Bond Portfolios? An Empirical Analysis of Strategic Asset Allocation and Risk Management through Business Cycles
Søraas, Espen André; Heimstad, Ivar Fjelde (Master thesis, 2021)The main scope of this thesis is to examine how alternative asset classes affect performance of traditional stock and bond portfolios. We will employ financial engineering and quantitative analytics to construct the most ... -
International comparison of interest rate guarantees in life insurance
Cummins, J. David; Miltersen, Kristian R.; Persson, Svein-Arne (Discussion paper, Working paper, 2004-08)Interest rate guarantees seem to be included in life insurance and pension products in most countries. The exact implementations of these guarantees vary from country to country and are often linked to different distribution ... -
Is Materiality Key to Profit on Sustainability? An empirical analysis of material sustainability and its effect on stock performance on Oslo Stock Exchange
Baklund, Caroline Brusdal; Østby, Ida Emilie (Master thesis, 2022)In this thesis, we examine whether the companies’ focus and prioritization of material sustainability issues have value implications for companies listed in Norway. Material sustainability issues are those issues that ... -
Kan investorer på Oslo Børs oppnå meravkastning ved å følge analytikeranbefalinger? En empirisk studie av analytikeres treffsikkerhet og preferanser
de Groot, Alexander; Stensby, Markus Nerbøvik (Master thesis, 2022)I denne utredningen undersøkes det om investorer på Oslo Børs kan oppnå risikojustert meravkastning ved å følge analytikeranbefalinger. Dette gjøres ved å konstruere porteføljer basert på anbefalinger, og sammenligne ... -
Level dependent annuities : defaults of multiple degrees
Mjøs, Aksel; Persson, Svein-Arne (Discussion paper, Working paper, 2008-03)Motivated by the risk of stopped debt coupon payments from a leveraged company in financial distress, we value a level dependent annuity contract where the annuity rate depends on the value of an underlying asset-process. ... -
Litigation Risk in Directors’ and Officers’ Liability Insurance : The Impact of Company-Related Risk Factors on the Insurance Premium
Formo, Julie Østraat; Haugan, Erlend (Master thesis, 2021)A directors’ and officers’ (D&O) liability insurance policy prices the risk of litigation. The objective of this thesis is to investigate whether company-specific risk factors are incorporated in the pricing, and in such ... -
Making Bank: Why High Bank Leverage is Optimal - for the Bank's Shareholders
Atreya, Nikhil; Mjøs, Aksel; Persson, Svein-Arne (Discussion paper;33/15, Working paper, 2015-11-27)We create a structural credit model to calculate the optimal capital structure for a bank that provides asset backed loans, such as corporate loans and mortgages. The bank's assets are loans, which means that the bank's ... -
Market sentiment and its predictive abilities in the stock market : empirical study of leading indicators derived from market sentiment
Skiftesvik, Daniel Sandal; Vasshus, Øystein Kvalvik (Master thesis, 2021)The purpose of this thesis is to investigate the relationship between multiple possible leading indicators and the stock market (S&P500 index). A leading indicator can be defined as a piece of data that corresponds to ... -
A model of deferred callability in defautable debt
Mjøs, Aksel; Persson, Svein-Arne (Discussion paper, Working paper, 2009-05) -
Modeling credit risk for small and medium-sized enterprises : evidence from Norway
Cheraghali, Hamid (Master thesis, 2018)Primarily, this paper investigates the determining factors of default in the Norwegian small and medium-sized enterprises (SMEs). Using logit regressions on a database comprises over 280,000 Norwegian firms (with sales ... -
Negative ESG Screening and Investment Returns : A Study of the Norwegian Oil Fund and Excluded Stocks
Foyn, Mathias Halseth; Thorsø, Terje (Master thesis, 2023)This thesis investigates whether there is a difference in stock returns for the Norwegian Oil Fund and the companies they exclude from their investment universe due to breaches of their ethical guidelines between 2006 ... -
New econ for life actuaries
Aase, Knut K.; Persson, Svein-Arne (Discussion paper, Working paper, 2003-03)In an editorial in ASTIN BULLETIN, Hans Bühlmann (2002) suggests it is time to change the teaching of life insurance theory towards the real life challenges of that industry. The following note is a response to this ... -
Norwegian equity funds: an empirical study of active management & performance
Johnsen, Kristian Wiik; Storm, Lars Kristian (Master thesis, 2015)This thesis is a comprehensive study of fund management in Norway, with particular emphasis on active management and performance. The utilized sample include 59 Norwegian equity mutual funds from 1996-2014. In general, ... -
A note on a barrier exchange option : the world’s simplest option formula?
Lindset, Snorre; Persson, Svein-Arne (Discussion paper, Working paper, 2005-08)The paper analyzes a barrier exchange option that is knocked out the first time the two underlying assets have identical market values. Under rather general conditions regarding the price processes for the underlying assets, ... -
Oljeprisens påvirkning på oljeformuen : en evaluering av systematisk oljeprisrisiko og effektene av å ekskludere olje- og gassektoren fra Oljefondet
Mathisen, Andreas; Bekkerud, Patrik Sjødahl (Master thesis, 2018)For Norge som en oljenasjon, hvor mye har egentlig oljeprisen å si? Og hvilken samlet effekt vil man kunne forvente for de oljeknyttede verdiene til den norske stat dersom man ekskluderer olje- og gassektoren fra Oljefondets ... -
On the extent and origins of the Merton model`s credit spread puzzle : a study of the credit risk pricing of Norwegian corporate bonds 2003-2014
Langdalen, Håkon; Johansen, Vetle Holt (Master thesis, 2016)For decades, financial literature has attempted to understand the pricing of credit risk in corporate bonds, and the Merton (1974) model is one of the classic approaches to determine a theoretic size for this credit risk ... -
On the pricing of performance sensitive debt
Mjøs, Aksel; Persson, Svein-Arne; Myklebust, Tor Åge (Discussion paper, Working paper, 2011-03) -
Optimal forsikringsportefølje for Frende Skadeforsikring : kan en optimal sammensetning av forsikringsbransjer bedre egenkapitalavkastningen?
Aadnesen, Margrete; Seim, Ragnhild (Master thesis, 2020)Denne masterutredningen undersøker om egenkapitalavkastningen til skade- og helseforsikringsporteføljen til Frende Skadeforsikring øker ved utnyttelse av en optimeringsmodell som opprinnelig brukes i aksjemarkedet. Vi ... -
Optimal kapitalstruktur for en bank : analyse av to strukturelle kredittmodeller
Hildre, Tor-André Leine; Aartun, Magnus Flom (Master thesis, 2018)Denne studien tar for seg to ulike kapitalstrukturmodeller, utviklet av henholdsvis Leland (1994) og Atreya, Mjøs og Persson (2016). Hovedfokuset er rettet mot å avdekke en optimal kapitalstruktur for en bank, og hvordan ... -
Pricing life insurance contracts under financial uncertainty
Persson, Svein-Arne (Doctoral thesis, 1994)