Sökning: "tail risk"

Visar resultat 1 - 5 av 85 uppsatser innehållade orden tail risk.

  1. 1. Risk Management and Sustainability - A Study of Risk and Return in Portfolios With Different Levels of Sustainability

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Magnus Borg; Lucas Ternqvist; [2023]
    Nyckelord :ESG; Value-at-Risk VaR ; Expected Shortfall ES ; Risk Management; Financial Risk; Financial Mathematics; Sustainability; Portfolio Management; Capital Asset Pricing Model CAPM ; Hållbarhet; Value-at-Risk VaR ; Expected Shortfall ES ; Riskhantering; Finansiell Risk; Finansiell Matematik; Portföljkonstruktion;

    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. 2. Rising Heat, Rising Risk: The Effect of Greenhouse Gas Emissions on Downside Tail Risk

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Moritz Neuber; Fabrice Van Lancker; [2023]
    Nyckelord :Climate Risk; Downside Risk; GHG Emissions; Tail Risk; Sustainable Finance;

    Sammanfattning : Regulatory and societal attention to environmental pollution is increasing, and greenhouse gas (GHG) emissions are becoming a potential risk factor for investors. This paper uses panel data from S\&P 500 firms between 2015 and 2022 to investigate the link between GHG emissions and downside tail risk. LÄS MER

  4. 3. Pricing and Modeling Heavy Tailed Reinsurance Treaties - A Pricing Application to Risk XL Contracts

    Master-uppsats, KTH/Matematisk statistik

    Författare :Ormia Abdullah Mohamad; Anna Westin; [2023]
    Nyckelord :Reinsurance; Extreme Value Theory; POT-model; Hill estimator; Risk XL contracts; Generalized Pareto distribution; Method of Moments.; Återförsäkring; Extremevärdesteori; POT-modellen; Hill estimatorn; Risk XL kontrakt; generella Paretofördelningen; Momentmetoden.;

    Sammanfattning : To estimate the risk of a loss occurring for insurance takers is a difficult task in the insurance industry. It is an even more difficult task to price the risk for reinsurance companies which insures the primary insurers. LÄS MER

  5. 4. En undersökning av genetisk variation associerad med spermiedefekter hos berner sennen

    Uppsats för yrkesexamina på avancerad nivå, SLU/Dept. of Clinical Sciences

    Författare :Anna Snell; [2022]
    Nyckelord :Berner sennen; fruktsamhet; spermakvalitet; spermiemorfologi; nedärvning; genetiska defekter;

    Sammanfattning : Hos hundrasen berner sennen har rasklubben de senaste åren observerat en ökning av fruktsamhetsrelaterade problem, såsom att tikar inte blir dräktiga, minskat antal valpar i kullarna och förlossningsproblem. Dräktighetsprocenten hos berner sennen ligger idag 10–20 % lägre än hos andra raser. LÄS MER

  7. 5. Electrification of Last-Mile Transport : A Study of Charging Infrastructure and Collaborative Business Model

    Master-uppsats, KTH/Energiteknik

    Författare :Elin Johansson; Marcus Rostmark; [2022]
    Nyckelord :Electrification; electric vehicles; last-mile; charging infrastructure; risk analysis; collaborative business models; Elektrifiering; elfordon; sista milen; laddinfrastruktur; riskanalys; kollaborativ affärsmodell;

    Sammanfattning : Electrification of the transport sector is an important step in reducing the global greenhouse gas (GHG) emissions. Compared to traditional internal combustion engine vehicles (ICEVs), electric vehicles (EVs) produce no tail-pipe emissions and could be coupled with responsible energy production from renewable energy sources to reduce coupled emissions of their operation. LÄS MER