In this thesis, we set out to model the market risk exposure for 251 stocks in the S&P 500 index, during a ten-year period between 2011-04-30 and 2021-03-31. The study brings to light a model not often mentioned in the scientific literature focused on market risk estimation, the linear mixed model. The linear mixed model makes it possible to model a time-varying market risk, as well as adding structure to the idiosyncratic risk, which is often assumed to be a stationary process. The results show that the mixed model is able to produce more accurate estimates for the market risk, compared to the baseline, which is here defined as a CAPM model. The success of the mixed model, which we in the study will refer to as the ADAPT model (adaptive APT), most certainly lies in its ability to create a hierarchical regression model. This makes it possible to not just view the set of observations as a single population, but let us group the observations into different clusters and in such a way makes it possible to construct a time-varying exposure. In the last part of the thesis, we highlight possible improvements for future works, which could make the estimation even more accurate and also more efficient.

Bakgrund: Kommuninvest är en medlemsorganisation som finansierar en stor andel av den svenska kommunsektorns upplåning. Detta möjliggörs genom att Kommuninvest emitterar obligationer på finansiella marknader för att sedan låna ut kapital till kommunerna. Finansiella institut som Kommuninvest hanterar en rad olika risker i sin verksamhet och eftersom det saknas tidigare forskning angående Kommuninvests exponering mot och hantering av marknadsrisk är detta intressant att studera för att fylla kunskapsluckan. Det är också intressant eftersom kommunerna är en viktig aktör i det svenska samhället och Kommuninvest spelar en stor roll i den kommunala upplåningen. Syfte: Syftet med denna studie är att analysera Kommuninvests marknadsriskexponering när de lånar upp pengar på den finansiella marknaden för att låna ut dessa till medlemskommunerna, samt att analysera företagets marknadsriskhantering. Syftet är också att analysera hur marknadsriskexponeringen och marknadsriskhanteringen påverkar medlemskommunerna. Genomförande: Studien är designad som en fallstudie. Fallet har definierats som Kommuninvests marknadsriskexponering och -hantering. Det empiriska materialet utgörs av nio semistrukturerade intervjuer och en dokumentstudie. Det empiriska materialet har använts för att kunna dra slutsatser om Kommuninvests marknadsriskexponering och -hantering samt dessas potentiella påverkan på medlemskommunerna. Slutsats: Flera slutsatser kan dras från denna studie. Kommuninvest hedgar främst sin marknadsrisk med derivat och naturlig matchning. Den monetära effekten på låneportföljen konstateras vara relativt liten. Räntemarginalen är så pass låg att de små kommunerna väljer att alltid låna av Kommuninvest och de stora väljer att göra det ibland. Kommunerna i studien har över lag högt förtroende för Kommuninvest och majoritet upplever att de inte påverkas så mycket av bolagets riskexponering eller riskhantering. Denna studie bidrar med ny kunskap om Kommuninvests marknadsriskexponering och -hantering till det företagsekonomiska forskningsfältet såväl som till de svenska kommunerna. / Background: Kommuninvest is a member organisation that finances a large part of the borrowing of Swedish local governments. This is made possible by emitting bonds on the financial markets and then lending capital to the local governments. Financial institutions like Kommuninvest deal with several different risks and since no previous research has been conducted on the subject of the market risk exposure and the market risk management of Kommuninvest, this is a pertinent case to study in order to fill the gap. It is also a pertinent case since the local governments of Sweden are a very important part of the society and since Kommuninvest plays a great role in the borrowing of these local governments. Aim: The aim of this study is to analyse the market risk exposure of Kommuninvest when the company borrows capital on the financial markets to lend to their members, Swedish local governments, as well as to analyse the market risk management of the company. A secondary aim is to analyse how the market risk exposure and the market risk management affect the local governments that are members of Kommuninvest. Completion: The study is designed as a case study. The case has been defined as The market risk exposure and market risk management of Kommuninvest. The empirical data consists of nine semi-structured interviews and one document study. The empirical data is used to draw conclusions about the market risk exposure and the market risk management of Kommuninvest, as well as their potential effects on the Swedish local governments that are members of Kommuninvest. Conclusion: Several conclusions can be drawn from this study. Kommuninvest primarily hedges its market risk with derivates and natural hedges. The monetary effect on the loan portfolio is found to be relatively small. The interest margin is low enough so that the small local governments choose to always borrow from Kommuninvest, and the big local governments choose to sometimes do so. The local governments that participated in the study generally have high confidence in Kommuninvest and most of them experience that they are not very affected by the company’s risk exposure or risk management. This study contributes with new knowledge about the market risk exposure and market risk management of Kommuninvest to the research field as well as to the Swedish local governments.