Sökning: "Expected Shortfall"
Visar resultat 1 - 5 av 87 uppsatser innehållade orden Expected Shortfall.
1. Robust Portfolio Optimization with Correlation Penalties
Master-uppsats, KTH/Matematisk statistikSammanfattning : Robust portfolio optimization models attempt to address the standard optimization method's high sensitivity to noise in the parameter estimates, by taking an investor's uncertainty about the estimates into account when finding an optimal portfolio. In this thesis, we study robust variations of an extension of the mean-variance problem, where an additional term penalizing the portfolio's correlation with an exogenous return sequence is included in the objective. LÄS MER
2. Risk Management and Sustainability - A Study of Risk and Return in Portfolios With Different Levels of Sustainability
Master-uppsats, KTH/Matematik (Avd.)Sammanfattning : This thesis examines the risk profile of Electronically Traded Funds and the dependence of the ESG rating on risk. 527 ETFs with exposure globally were analyzed. Risk measures considered were Value-at-Risk and Expected Shortfall, while some other metrics of risk was used, such as the volatility, maximum drawdown, tail dependece, and copulas. LÄS MER
3. Portfolio Risk Modelling in Venture Debt
Master-uppsats, KTH/Matematisk statistikSammanfattning : This thesis project is an experimental study on how to approach quantitative portfolio credit risk modelling in Venture Debt portfolios. Facing a lack of applicable default data from ArK and publicly available sets, as well as seeking to capture companies that fail to service debt obligations before defaulting per se, we present an approach to risk modeling based on trends in revenue. LÄS MER
4. Multi-factor approximation : An analysis and comparison ofMichael Pykhtin's paper “Multifactor adjustment”
Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistikSammanfattning : The need to account for potential losses in rare events is of utmost importance for corporations operating in the financial sector. Common measurements for potential losses are Value at Risk and Expected Shortfall. These are measures of which the computation typically requires immense Monte Carlo simulations. LÄS MER
5. Indexanvändning i ramavtal : En strategi för att hantera en volatil marknad
Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistikSammanfattning : De senaste årens globala utveckling med pandemi, kriser och krig har satt Skanskas inköpsarbete på prov. Denna omvälvande situation har skapat en volatil marknad med en snabb prisutveckling, vilket har utmanat de befintliga prisklausulerna i Skanskas ramavtal som inte har kunnat hantera den verkliga kostnadsutvecklingen. LÄS MER