Sökning: "Portfolio Simulation"

Visar resultat 1 - 5 av 86 uppsatser innehållade orden Portfolio Simulation.

1. 1. Predicering av aktiekursutveckling för svenska aktier utifrån konjunkturdata

   Kandidat-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)

   Författare :Edward Ehrling; Felix Dahl; [2023]
   Nyckelord :;

   Sammanfattning : This study aims to investigate whether Swedish economic indicators can be used to predict stock market performance on the Stockholm Stock Exchange. The study is expected to contribute to new research in the field and also explore the potential utility of these predictions for individual investors. LÄS MER

3. 2. Portfolio Risk Modelling in Venture Debt

   Master-uppsats, KTH/Matematisk statistik

   Författare :John Eriksson; Jacob Holmberg; [2023]
   Nyckelord :Startup Default Probability; Venture Debt; Gaussian Copula; Value-at-Risk; Expected Shortfall; Exposure at Default; Loss Given Default; Forecast; Linear Dynamic System; ARIMA Time Series; Monte Carlo Simulation; Linear Regression; Central Limit Theorem;

   Sammanfattning : 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. 3. 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 statistik

   Författare :Michael Zanetti; Philip Güzel; [2023]
   Nyckelord :Credit risk; Value at Risk; Expected Shortfall; Monte Carlo simulation; Advanced Internal Rantings-Based models; Kreditrisk; Value at Risk; Expected Shortfall; Monte Carlo simulation; Advanced Internal Rantings-Based-modeller;

   Sammanfattning : 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. 4. Simulation Based Methods for Credit Risk Management in Payment Service Provider Portfolios

   Master-uppsats, KTH/Matematik (Avd.)

   Författare :Knut Dahlström; Carl Forssbeck; [2023]
   Nyckelord :Credit Risk; Monte Carlo simulation; Importance Sampling; Merton; Kreditrisk; Monte Carlo simulation; Importance Sampling; Merton;

   Sammanfattning : Payment service providers have unique credit portfolios with different characteristics than many other credit providers. It is therefore important to study if common credit risk estimation methods are applicable to their setting. LÄS MER

7. 5. Stochastic Optimization of Asset Management Project Portfolios: A Risk-Informed Approach

   Master-uppsats, KTH/Matematik (Avd.)

   Författare :Sebastian Persson; Niklas Hansson; [2023]
   Nyckelord :Nuclear asset management; Risk-informed asset management; Portfolio optimization; Project selection; Knapsack problem; Monte Carlo simulation; Conditional Value at Risk; Tillgångsförvaltning; Riskinformerad tillgångsförvaltning; Portföljoptimering; Projekturval; Kappsäcksproblem; Monte Carlo simulering; Conditional Value at Risk;

   Sammanfattning : Asset management within the nuclear industry has become an increasingly relevant topic as safety requirements have tightened and energy security has become more important. Asset management ensures performance and reliability in a nuclear facility by balancing costs, opportunities, and risks to get the most out of assets. LÄS MER