Sökning: "CVaR"

Visar resultat 1 - 5 av 28 uppsatser innehållade ordet CVaR.

  1. 1. Sustainability performance and market risk. A study of the banking sector

    Master-uppsats, Umeå universitet/Företagsekonomi

    Författare :Arvid Särkiniemi; Oskar Lindman; [2023]
    Nyckelord :risk; market risk; sustainability performance; corporate management; bank management; CSR; panel data; parametric VaR; non-parametric VaR; CVaR; VaR; Historical simulation; bank sector; the financial sector; ESG; financial performance.;

    Sammanfattning : The financial crisis of 2007-2008 highlighted the societal impacts of bank risk-taking. A strong focus on maximizing profits for shareholders combined with a disregard for, and  underestimation of risks led to the downfall of large banks such as Lehman Brothers and multiple other banks getting bailed out by several governments and other banks. LÄS MER

  3. 2. 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

  4. 3. Spillover Effect on Swedish Inflation : How ECBs interest rate changes effect Swedish inflation

    Magister-uppsats, Högskolan Dalarna/Institutionen för kultur och samhälle

    Författare :Rasmus Ramström; [2023]
    Nyckelord :Inflation; Cointegration; Vector autoregression; spillover; Sweden;

    Sammanfattning : There is a limited amount of literature regarding spillover effects on inflation. The previous literature is focused on a small number of countries, and on shocks coming from demand and supply. LÄS MER

  5. 4. The Energy Transition: The Behavior of Renewable Energy Stock During Times of Energy Security Uncertainty : A firm-specific study of the volatility characteristics, crucial drivers & uncertainties of renewable energy stock

    Master-uppsats, Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

    Författare :Philip Igeland; Leon Schroeder; [2022]
    Nyckelord :Renewable energy; Energy security; Green metals; Uncertainty; MS-GARCH;

    Sammanfattning : The global energy sector is experiencing an transition towards renewable energy, a transition that is mainly driven by issues related to climate change and energy security. In this paper, we investigate the time-varying volatility and risk measures of renewable energy and traditional energy firms. LÄS MER

  7. 5. Hantering av svenska investerares valutarisk i amerikanska tillgångar : Hur svansrisken i en amerikansk aktie och obligationsportfölj denominerad i SEK påverkas av en optimal valutahedge

    Master-uppsats, Linköpings universitet/Produktionsekonomi

    Författare :Ivar Hedrén; Henrik Käller Åkesson; [2022]
    Nyckelord :CVaR; tail risk; foreign exchange risk; USD:SEK; hedging; covariation; CVaR; svansrisk; valutarisk; USD:SEK; hedging; samvariation;

    Sammanfattning : För investerare vars portföljer utgörs av internationella investeringar är det i synnerhet viktigt att begrunda beroendestrukturen mellan internationella investeringar och valutakurser. Detta på grund av den valutarisk som investeraren exponerar sig mot utöver de internationella tillgångarnas inneboende risk. LÄS MER