Sökning: "Expected Shortfall"

Visar resultat 1 - 5 av 46 uppsatser innehållade orden Expected Shortfall.

  1. 1. Monte Carlo Simulations of Portfolios Allocated with Structured Products : A method to see the effect on risk and return for long time horizons

    Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för fysik

    Författare :Malin Fredriksson; [2018]
    Nyckelord :Monte Carlo; Finance; Value-at-Risk; Expected Shortfall; Portfolio; Non-linear instruments; Structured Products;

    Sammanfattning : Structured products are complex non-linear financial instruments that make it difficult to calculate their future risk and return. Two categories of structured products are Capital Protected and Participation notes, which are built by bonds and options. LÄS MER

  2. 2. Exotic Derivatives and Deep Learning

    Master-uppsats, KTH/Matematisk statistik; KTH/Matematisk statistik

    Författare :Axel Broström; Richard Kristiansson; [2018]
    Nyckelord :;

    Sammanfattning : This thesis investigates the use of Artificial Neural Networks (ANNs)for calculating present values, Value-at-Risk and Expected Shortfall ofoptions, both European call options and more complex rainbow options. Theperformance of the ANN is evaluated by comparing it to a second-order Taylorpolynomial using pre-calculated sensitivities to certain risk-factors. LÄS MER

  3. 3. The influence of consolidation and internationalization on systemic risk in the financial sector

    Master-uppsats, Uppsala universitet/Företagsekonomiska institutionen

    Författare :Rinke Bakker; [2018]
    Nyckelord :Marginal Expected Shortfall; Internationalization; Mergers and Acquisitions; Banking; Consolidation;

    Sammanfattning : This paper analyses the impact of banking mergers on systemic risk, with in particular if internationalization prior to acquisition increases systemic risk. By using the marginal expected shortfall methodology for an international sample of mergers, a significant increase in systemic risk is found as a result of mergers in the financial sector. LÄS MER

  4. 4. On the Performance of Mean-Risk Portfolio Optimization Strategies

    Kandidat-uppsats, Umeå universitet/Nationalekonomi

    Författare :Andreas Blanck; [2018]
    Nyckelord :;

    Sammanfattning : Finding a portfolio strategy that entails optimal performance and risk diversification may be a complicated task for investors. In this thesis, we explore and evaluate the performances of several non-trivial portfolio optimization strategies, based on various measures of risk, to identify the optimal choice. LÄS MER

  5. 5. Investment in Value: A Copula Approach

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Gustaf Soldan Patrikson; Victor Andrée; [2017]
    Nyckelord :factor investing; copula; tail dependence; diversification;

    Sammanfattning : We evaluate how factor equity strategies are optimally combined, focusing on the role of the value factor (HML) against the background of a recent academic discussion about its potential redundancy, and the discovery of the investment (CMA) and profitability (RMW) factors. The analysis is centered around a conditional joint return distribution from a dynamic copula model, which allows for simulation with a time-varying and non-normal dependence structure. LÄS MER


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