Sökning: "Copulas"

Visar resultat 6 - 10 av 44 uppsatser innehållade ordet Copulas.

1. 6. Copula Modelling of High-Dimensional Longitudinal Binary Response Data

   Master-uppsats, KTH/Matematik (Avd.)

   Författare :Nils Henningsson; [2022]
   Nyckelord :Copula; latent model; variational inference; Copula; latent modell; variational inference;

   Sammanfattning : This thesis treats the modelling of a high-dimensional data set of longitudinal binary responses. The data consists of default indicators from different nations around the world as well as some explanatory variables such as exposure to underlying assets. LÄS MER

3. 7. Hedging the Term Structure Risk of Carbon Allowance Derivatives : An Application of Stochastic Optimisation to EUA Market Making

   Master-uppsats, Linköpings universitet/Produktionsekonomi

   Författare :Nikolas Tsigkas; [2022]
   Nyckelord :Commodity Derivatives; Emissions Trading; Term Structure; Nonparametric Curve Estimation; Hedging; Stochastic Optimisation; Monte Carlosimulation; Market Microstructre; Systematic Risk Factors;

   Sammanfattning : The initiative by the EU to combat global warming through the introduction of a cap-and-trade system for greenhouse gas emissions in 2005, known as the EU Emissions Trading System (ETS), resulted in the inception of a new financial market. The right to emit one tonne of CO2-equivalents, as well as derivatives on this right, have become commodities, traded both through exchanges and over the counter. LÄS MER

4. 8. Considering Tail Events in Hedge Fund Portfolio Optimization

   Master-uppsats, Linköpings universitet/Produktionsekonomi

   Författare :Josefin Bladh; Holm Greta; [2021]
   Nyckelord :Portfolio Optimization; Hedge Funds; Tail Events; Mean-CVaR;

   Sammanfattning : The Fourth Swedish National Pension Fund (AP4), as well as many other large investors, has noted deficiencies the Mean-Variance framework for portfolio management of asset with non-normal characteristics. The main problem apparent in the Mean-Variance framework, when investing in alternative assets such as hedge funds, is the lacking systematic control of the balance between the measurements of risk due normal variation and tail-risk. LÄS MER

5. 9. Evaluating Markov Chain Monte Carlo Methods for Estimating Systemic Risk Measures Using Vine Copulas

   Master-uppsats, KTH/Matematisk statistik

   Författare :Rasmus Guterstam; Vidar Trojenborg; [2021]
   Nyckelord :Systemic Risk; Value-at-risk; Risk allocation; Risk contributions; Markov Chain Monte Carlo; No-U-Turn Sampler; Metropolis-Hastings; Monte Carlo; Vine Copula; Systemisk Risk; Value-at-risk; Riskallokering; Riskbidrag; Markov Chain Monte Carlo; No-U-Turn Sampler; Metropolis-Hastings; Monte Carlo; Vine Copula;

   Sammanfattning : This thesis attempts to evaluate the Markov Chain Monte Carlo (MCMC) methods Metropolis-Hastings (MH) and No-U-Turn Sampler (NUTS) to estimate systemic risk measures. The subject of analysis is an equity portfolio provided by a Nordic asset management firm, which is modelled using a vine copula. LÄS MER

7. 10. Extreme value modeling of wind effect on dune erosion on the Coast of ̈Angelholm

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Lionel Arpin-Pont; [2020]
   Nyckelord :Erosion; Wind speed; Extreme value theory; Block maxima; Peaks over threshold; Copula; Husler-Reiss; Dependence function.; Mathematics and Statistics;

   Sammanfattning : The movement of the coast line, due to erosion in one direction or aggregation in theother is a natural process as waves, wind as well as the geological nature of the coast itselfare affecting it. Sand dunes are the main protection coasts have at their disposal againstfloods during storm surges or from more passive but long range rainfalls. LÄS MER