Sökning: "Riskmodellering"
Visar resultat 1 - 5 av 10 uppsatser innehållade ordet Riskmodellering.
1. 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
2. Modelling Risk in Real-Life Multi-Asset Portfolios
Master-uppsats, KTH/Matematik (Avd.)Sammanfattning : We develop a risk factor model based on data from a large number of portfolios spanning multiple asset classes. The risk factors are selected based on economic theory through an analysis of the asset holdings, as well as statistical tests. LÄS MER
3. Risk Modeling of Sustainable Mutual Funds Using GARCH Time Series
Master-uppsats, KTH/Matematisk statistikSammanfattning : The demand for sustainable investments has seen an increase in recent years. There is considerable literature covering backtesting of the performance and risk of socially responsible investments (SRI) compared to conventional investments. LÄS MER
4. Risk Modelling in Payment Guarantees
Master-uppsats, KTH/Matematisk statistikSammanfattning : The Swedish Export Credit Agency (EKN) issues payment guarantees to Swedish companies who face the risk of non-payments in export transactions. Commitments are typically correlated, as defaults of companies are driven by other factors than factors specific to that company, such as the economic cycle or the regional conditions. LÄS MER
5. Optimal mass transport: a viable alternative to copulas in financial risk modeling?
Master-uppsats, KTH/Matematik (Inst.)Sammanfattning : Copulas as a description of joint probability distributions is today common when modeling financial risk. The optimal mass transport problem also describes dependence structures, although it is not well explored. This thesis explores the dependence structures of the entropy regularized optimal mass transport problem. LÄS MER