Visar resultat 1 - 5 av 26 uppsatser innehållade ordet Copulas.
1. The Performance of Market Risk Models for Value at Risk and Expected Shortfall Backtesting : In the Light of the Fundamental Review of the Trading BookMaster-uppsats, KTH/Matematisk statistik
Sammanfattning : The global financial crisis that took off in 2007 gave rise to several adjustments of the risk regulation for banks. An extensive adjustment, that is to be implemented in 2019, is the Fundamental Review of the Trading Book (FRTB). LÄS MER
2. The GARCH-copula model for gaugeing time conditional dependence in the risk management of electricity derivativesMaster-uppsats, KTH/Matematisk statistik
Sammanfattning : In the risk management of electricity derivatives, time to delivery can be divided into a time grid, with the assumption that within each cell of the grid, volatility is more or less constant. This setup however does not take in to account dependence between the different cells in the time grid. LÄS MER
- Master-uppsats, KTH/Matematisk statistik
Sammanfattning : In this thesis, literature is reviewed for theory regarding elliptical copulas (Gaussian, Student’s t, and Grouped t) and methods for calibrating parametric copulas to sets of observations. Theory regarding model diagnostics is also summarized in the thesis. LÄS MER
- H-uppsats, Chalmers tekniska högskola/Institutionen för matematiska vetenskaper
Sammanfattning : .... LÄS MER
5. A Multi-Factor Stock Market Model with Regime-Switches, Student's T Margins, and Copula DependenciesMaster-uppsats, Linköpings universitet/Produktionsekonomi; Linköpings universitet/Produktionsekonomi
Sammanfattning : Investors constantly seek information that provides an edge over the market. One of the conventional methods is to find factors which can predict asset returns. In this study we improve the Fama and French Five-Factor model with Regime-Switches, student's t distributions and copula dependencies. LÄS MER
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