Sökning: "Viktor Sonebäck"

Hittade 2 uppsatser innehållade orden Viktor Sonebäck.

1. 1. Hierarchical clustering of market risk models

   Master-uppsats, KTH/Matematisk statistik

   Författare :Ludvig Pucek; Viktor Sonebäck; [2017]
   Nyckelord :;

   Sammanfattning : This thesis aims to discern what factors and assumptions are the most important in market risk modeling through examining a broad range of models, for different risk measures (VaR0.01, S0:01 and ES0:025) and using hierarchical clustering to identify similarities and dissimilarities between the models. LÄS MER

3. 2. Portfolio Optimization : Approaches to determining VaR and CVaR

   Kandidat-uppsats, KTH/Optimeringslära och systemteori

   Författare :Parik Bergman; Viktor Sonebäck; [2015]
   Nyckelord :;

   Sammanfattning : This thesis analyses portfolio optimization using the risk measures VaR and CVaR with two different underlying assumptions of probability distribution of returns; one being that portfolio returns are normal distributed and the other being a discrete distribution comprised of historical data. The models are run through numerous historical simulations on the OMXS30 with varying time period for historical data and rebalance frequencies. LÄS MER