Sökning: "Ludvig Pucek"

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  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