Sökning: "Cornish - Fisher"

Hittade 5 uppsatser innehållade orden Cornish - Fisher.

1. 1. Accuracy of Risk Measures For Black Swan Events

   Kandidat-uppsats, KTH/Matematisk statistik

   Författare :Viktor Barry; [2021]
   Nyckelord :Black swans; value at risk; conditional value at risk; monte carlo simulation; financial mathematics; risk analysis; financial risk; Black Swan; value at risk; conditional value at risk; monte carlo-simulering; finansiell matematik; riskanalys; finansiell risk;

   Sammanfattning : This project aims to analyze the risk measures Value-at-Risk and Conditional-Value-at-Risk for three stock portfolios with the purpose of evaluating each method's accuracy in modelling Black Swan events. This is achieved by utilizing a parametric approach in the form of a modified (C)VaR with a Cornish-Fisher expansion, a historic approach with a time series spanning ten years and a Markov Monte Carlo simulation modeled with a Brownian motion. LÄS MER

3. 2. Solvency Capital Requirement (SCR) for Market Risks : A quantitative assessment of the Standard formula and its adequacy for a Swedish insurance company

   Kandidat-uppsats, KTH/Matematisk statistik

   Författare :Björn Widing; [2016]
   Nyckelord :Solvency II; Standard formula; Solvency Capital Requirement; Value at Risk; Principal Component Analysis; Cornish Fisher expansion; Solvens II; Standardformeln; Kapitalbaskrav; Value at Risk; Principalkomponents analys; Cornish Fisher expansion;

   Sammanfattning : The purpose of this project is to validate the adequacy of the Standard formula, used to calculate the Solvency Capital Requirement (SCR), with respect to a Swedish insurance company. The sub-modules evaluated are Equity risk (type 1) and Interest rate risk. The validation uses a quantitative assessment and the concept of Value at Risk (VaR). LÄS MER

4. 3. Optimering av lagernivåer vid distributionscentralen Bygg Ole

   Kandidat-uppsats, KTH/Optimeringslära och systemteori

   Författare :Gustav Göransson; Mathias Johnson; [2016]
   Nyckelord :Solvency II; Standard formula; Solvency Capital Requirement; Valueat Risk; Principal Component Analysis; Cornish Fisher expansion; Solvens II; Standardformeln; Kapitalbaskrav; Valueat Risk; Principalkomponents analys; Cornish Fisher expansion;

   Sammanfattning : Detta examensarbetes syfte var att undersöka möjligheter till förbättring av hantering av lagernivåer för Bygg Ole Saltsjö-Boo. En kombination av aspekter från både systemteknik och industriell ekonomi har använts. LÄS MER

5. 4. Cornish-Fisher Expansion and Value-at-Risk method in application to risk management of large portfolios

   Magister-uppsats, Tillämpad matematik och fysik (MPE-lab)

   Författare :Maria Sjöstrand; Özlem Aktaş; [2011]
   Nyckelord :Financial Mathematics; Value-at-Risk; Expected Shortfall; Cornish-Fisher Expansion; Gaussian distribution; Generalized Hyperbolic distribution;

   Sammanfattning : One of the major problem faced by banks is how to manage the risk exposure in large portfolios. According to Basel II regulation banks has to measure the risk using Value-at-Risk with confidence level 99%. However, this regulation does not specify the way to calculate Valueat- Risk. LÄS MER

7. 5. Olja som volatil tillgång - En utvärdering av Value at Risk

   Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Daniel Svensson; [2010]
   Nyckelord :Value at Risk; Moving Average; Exponentially Weight Moving Average; Cornish - Fisher; Kupiec´s backtest; Business and Economics;

   Sammanfattning : Sett till senaste finanskrisen kan konstateras att oroligheterna på marknaden haft stor påverkan på oljepriset och i synnerhet West Texas Intermediate (WTI), vilken jag valt att titta på. Tydliga signaler pekar på relevansen av att kunna prognostisera oanade utfall (risk). LÄS MER