Sökning: "finansiella portföljer"

Visar resultat 1 - 5 av 59 uppsatser innehållade orden finansiella portföljer.

1. 1. 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

3. 2. 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

4. 3. The Science Based Targets initiative: Its impact on the financial results and the determinants to joing

   Master-uppsats, KTH/Skolan för industriell teknik och management (ITM)

   Författare :Beatriz Pineda Pérez; [2023]
   Nyckelord :Science Based Targets initiative; Financial impact; Difference-in-Differences; Greenhouse Gas Emissions; Science Based Targets initiativ; Ekonomisk påverkan; Difference-in-Differences; Greenhouse Gas Emissions.;

   Sammanfattning : We are currently experiencing a climate crisis. The planet’s temperature is rising considerably due to the emission of greenhouse gases generated by human activities. This situation poses a challenge for everyone, including companies. Private sector actors are taking actions to mitigate the consequences of climate change, such as global warming. LÄS MER

5. 4. Diversifying a Real Estate Portfolio Through Infrastructure Investment : An Interview Study of Opportunities and Challenges in the Nordics

   Master-uppsats, KTH/Fastighetsföretagande och finansiella system

   Författare :Carl Jussi-Pekka; Pontus Grundström; [2023]
   Nyckelord :Real Assets; Infrastructure Investments; Nordic Infrastructure; Barriers; Opportunities; Real Estate; Reala tillgångar; Infrastrukturinvesteringar; Nordisk Infrastruktur; Barriärer; Möjligheter; Fastigheter;

   Sammanfattning : Since the financial crisis infrastructure has become an increasingly attractive asset class for investors, especially among financial institutions, who recognize the value of diversification opportunities within infrastructure. In parallel with the emergence of infrastructure as an investable asset class, the global financial turbulence has generated even greater incentives for investors to diversify their portfolios with infrastructure, as the asset class exhibits characteristics to navigate in a more challenging economic environment. LÄS MER

7. 5. Modelling Risk in Real-Life Multi-Asset Portfolios

   Master-uppsats, KTH/Matematik (Avd.)

   Författare :Karin Hahn; Axel Backlund; [2023]
   Nyckelord :Risk modelling; multi-asset portfolios; risk factor models; time series analysis; regression; Riskmodellering; finansiella portföljer; riskfaktormodeller; tidsserieanalys; regression;

   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