University of Twente Student Theses
As of Friday, 8 August 2025, the current Student Theses repository is no longer available for thesis uploads. A new Student Theses repository will be available starting Friday, 15 August 2025.
Swap spread models and their implications for Dutch sovereign interest rate risk hedging
Jaspers, R. (2022) Swap spread models and their implications for Dutch sovereign interest rate risk hedging.
PDF
3MB |
Abstract: | The DSTA faced swap spread related risk when incorporating swaps in their debt portfolio. This research better identifies this risk through modeling methods and proposes when to use swaps and when not to. |
Item Type: | Essay (Master) |
Faculty: | BMS: Behavioural, Management and Social Sciences |
Subject: | 31 mathematics, 83 economics, 88 social and public administration |
Programme: | Industrial Engineering and Management MSc (60029) |
Link to this item: | https://purl.utwente.nl/essays/89331 |
Export this item as: | BibTeX EndNote HTML Citation Reference Manager |
Repository Staff Only: item control page