Sökning: "Normal Copula"
Visar resultat 1 - 5 av 13 uppsatser innehållade orden Normal Copula.
1. Copula approach to fitting bivariate time series
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : We apply the GARCH-copula method to estimate Value at Risk (VaR) for European and Stockholm stock indices. First, marginal distributions are estimated by the ARMA-GARCH model with normal, Student-t, and skewed t distributions. LÄS MER
2. A short bit on copulas and alternative versions of Spearmans rho
Kandidat-uppsats, Lunds universitet/Matematisk statistikSammanfattning : This thesis aims to understand copula theory and its application in measuring dependence, particularly in the context of the paper "Multivariate conditional versions of Spearman’s rho and related measures of tail dependence" by Schmid and Schmidt. We clarify certain statements and formulas in Schmid and Schmidt's work, explore the potential of the conditional version of Spearman's rho, and demonstrate empirical versions of copulas and Spearman's rho using a bivariate normal distribution. LÄS MER
3. Simulation-Based Portfolio Optimization with Coherent Distortion Risk Measures
Master-uppsats, KTH/Matematisk statistikSammanfattning : This master's thesis studies portfolio optimization using linear programming algorithms. The contribution of this thesis is an extension of the convex framework for portfolio optimization with Conditional Value-at-Risk, introduced by Rockafeller and Uryasev. LÄS MER
4. Quantitative Portfolio Construction Using Stochastic Programming
Master-uppsats, KTH/Matematisk statistikSammanfattning : In this study within quantitative portfolio optimization, stochastic programming is investigated as an investment decision tool. This research takes the direction of scenario based Mean-Absolute Deviation and is compared with the traditional Mean-Variance model and widely used Risk Parity portfolio. LÄS MER
5. The Performance of Market Risk Models for Value at Risk and Expected Shortfall Backtesting : In the Light of the Fundamental Review of the Trading Book
Master-uppsats, KTH/Matematisk statistikSammanfattning : The global financial crisis that took off in 2007 gave rise to several adjustments of the risk regulation for banks. An extensive adjustment, that is to be implemented in 2019, is the Fundamental Review of the Trading Book (FRTB). LÄS MER