Sökning: "Copulas"

Visar resultat 1 - 5 av 26 uppsatser innehållade ordet Copulas.

  1. 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 Book

    Master-uppsats, KTH/Matematisk statistik

    Författare :Katja Dalne; [2017]
    Nyckelord :Risk Management; Financial Time Series; Value at Risk; Expected Shortfall; Monte Carlo Simulation; GARCH modeling; Copulas; Hybrid Distribution; Generalized Pareto Distribution; Extreme Value Theory; Backtesting; Liquidity Horizon; Basel regulation.;

    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. 2. The GARCH-copula model for gaugeing time conditional dependence in the risk management of electricity derivatives

    Master-uppsats, KTH/Matematisk statistik

    Författare :Johan Viktorsson; [2017]
    Nyckelord :;

    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

  3. 3. Copula selection and parameter estimation in market risk models

    Master-uppsats, KTH/Matematisk statistik

    Författare :Carl Ljung; [2017]
    Nyckelord :;

    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

  4. 4. Study of portfolio risk using copulas

    H-uppsats, Chalmers tekniska högskola/Institutionen för matematiska vetenskaper

    Författare :Yurong Li; [2017]
    Nyckelord :;

    Sammanfattning : .... LÄS MER

  5. 5. A Multi-Factor Stock Market Model with Regime-Switches, Student's T Margins, and Copula Dependencies

    Master-uppsats, Linköpings universitet/Produktionsekonomi; Linköpings universitet/Produktionsekonomi

    Författare :Adnan Berberovic; Alexander Eriksson; [2017]
    Nyckelord :finance; statistics; stock market; stocks; factor; factors; probability; probability distribution; students t distrbution; students t; copula; markov chain; hidden markov model; regime switching; stochastic programming; optimisation; optimization; multi factor model; arbitrage pricing theory; return; performance; back test; expectation maximisation; expectation maximization; multiple linear regression; stochastic process; primal-dual interior point; qq-plot; qq plot; excess return; market regimes; bear market; bull market; market index; index;

    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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