Sökning: "Portföljrisk"

Visar resultat 1 - 5 av 6 uppsatser innehållade ordet Portföljrisk.

  1. 1. Portfolio Risk Modelling in Venture Debt

    Master-uppsats, KTH/Matematisk statistik

    Författare :John Eriksson; Jacob Holmberg; [2023]
    Nyckelord :Startup Default Probability; Venture Debt; Gaussian Copula; Value-at-Risk; Expected Shortfall; Exposure at Default; Loss Given Default; Forecast; Linear Dynamic System; ARIMA Time Series; Monte Carlo Simulation; Linear Regression; Central Limit Theorem;

    Sammanfattning : This thesis project is an experimental study on how to approach quantitative portfolio credit risk modelling in Venture Debt portfolios. Facing a lack of applicable default data from ArK and publicly available sets, as well as seeking to capture companies that fail to service debt obligations before defaulting per se, we present an approach to risk modeling based on trends in revenue. LÄS MER

  3. 2. Portföljrisk i investmentbolag : - En kvantitativ studie om hur svenska investmentbolag hanterat sin portföljrisk i förhållande till utländska investmentbolag

    Magister-uppsats, Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Författare :Jerry Pettersson; Sally Nilsson; [2020]
    Nyckelord :Investment company; Risk of portfolio; Risk management; Modern portfolio theory; Optimal portfolio; Comparative study; Investmentbolag; Portföljrisk; Riskhantering; Modern portföljvalsteori; Optimal portfölj; Komparativ studie;

    Sammanfattning : Bakgrund och problemformulering: Investmentbolag är ett bolag vars affärsidé är att äga andra bolag. De har en betydande roll i samhället genom att bidra med kapital och att hjälpa driva etablerade företag framåt. LÄS MER

  4. 3. Risk contribution and its application in asset and risk management for life insurance

    Master-uppsats, KTH/Matematisk statistik

    Författare :Jesper Sundin; [2016]
    Nyckelord :Risk contribution; capital allocation; Value-at-Risk; elliptical distri-bution; multivariate log-normal distribution; kernel estimation;

    Sammanfattning : In risk management one important aspect is the allocation of total portfolio risk into its components. This can be done by measuring each components' risk contribution relative to the total risk, taking into account the covariance between components. LÄS MER

  5. 4. Smart Beta - index weighting

    Master-uppsats, KTH/Matematisk statistik

    Författare :Oscar Blomkvist; [2015]
    Nyckelord :Smart beta; portfolio optimization; Sharpe ratio; equal weights; diversification; fundamental analysis; P E-ratio; performance; risk; trading cost; market impact.; Smart beta; portföljoptimering; Sharpe-kvot; likaviktad; diversifiering;

    Sammanfattning : This study is a thesis ending a 120 credit masters program in Mathematics with specialization Financial Mathematics and Mathematical Statistics at the Royal Institute of Technology (KTH). The subject of Smart beta is defined and studied in an index fund context. LÄS MER

  7. 5. Index-Linked Mortgages in Sweden : A Study of an Alternative Mortgage Structure

    Master-uppsats, KTH/Entreprenörskap och Innovation

    Författare :SABRINA CARTER; JOHANNA LARSSON; [2014]
    Nyckelord :Housing market; mortgages; mortgage interest rate; real estate index; real estate risk; index-linked mortgage; loan; Housing market; mortgages; mortgage interest rate; real estate index; real estate risk;

    Sammanfattning : Households generally have little or no possibility to unload their real estate risk, which constitutes a large part of  their total portfolio risk. The aim of this study is to analyze a way for households to unload this risk through a socalled index-linked mortgage financed by a fund. LÄS MER