Sökning: "Risk factor weights"

Visar resultat 1 - 5 av 9 uppsatser innehållade orden Risk factor weights.

  1. 1. Unveiling the Impact of ESG Ratings on Risk-Adjusted Returns : Evidence from European Companies

    Master-uppsats, Uppsala universitet/Företagsekonomiska institutionen

    Författare :David Melin; Otta Alexander; [2023]
    Nyckelord :ESG; Sustainability; Risk-adjusted return; Risk factor; Factor model; Portfolio; Europe;

    Sammanfattning : This study uses a sample of 600 companies from Europe to investigate the risk-adjusted returns of four portfolios with high and low ESG ratings between 2011 and 2021. Four asset pricing models and additional measures for risk and return are tested on different portfolio weights. LÄS MER

  3. 2. Improving term structure measurements by incorporating steps in a multiple yield curve framework

    Master-uppsats, Linköpings universitet/Produktionsekonomi

    Författare :Gustav Villwock; Clara Rydholm; [2022]
    Nyckelord :Finance; Interest rates; Term structure measurement; Monte Carlo; Financial mathematics; Yield curve; Policy rates; Multiple yield curve framework; Stochastic programming; Risk factor modeling; Hedging; Performance attribution; Principle component analysis; GARCH; Maximum likelihood estimation; Copula;

    Sammanfattning : By issuing interest rate derivative contracts, market makers such as large banks are exposed to undesired risk. There are several methods for banks to hedge themselves against this type of risk; one such method is the stochastic programming model developed by Blomvall and Hagenbjörk (2022). LÄS MER

  4. 3. On the Value at Risk Forecasting of the Market Risk for Large Portfolios based on Dynamic Factor Models with Multivariate GARCH Specifications

    Master-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Axel Eurenius Larsson; [2022]
    Nyckelord :Dynamic factor model; Value at Risk; Forecasting; Conditional Correlation GARCH.;

    Sammanfattning : Market risk is the risk of capital loss due to unexpected changes in market prices. One risk measure used to estimate market risk is Value at Risk (VaR). The common historical simulation methodology of VaR forecasting usually does not capture the time-varying volatilities associated with financial data. LÄS MER

  5. 4. A Case Study to develop and test GIS/SDSS methods to assess the production capacity of a Cocoa Site in Trinidad and Tobago

    Master-uppsats, Lunds universitet/Institutionen för naturgeografi och ekosystemvetenskap

    Författare :Pritam Kumarsingh; [2021]
    Nyckelord :geography; GIS; MCA; Fuzzy; AHP; cocoa; SDSS; crop; management; climate; soil; agriculture; production; LGP; Trinidad; Tobago; Earth and Environmental Sciences;

    Sammanfattning : Pritam Kumarsingh A Case Study to develop and test GIS/SDSS methods to assess the production capacity of a Cocoa Site in Trinidad and Tobago Trinidad and Tobago has achieved world-wide affirmation for its unique fine and flavour cocoa (Theobroma cacao). This classification of cocoa commands price premiums on the global market. LÄS MER

  7. 5. A Model to Assess Supply Risk for Antibiotics in Swedish Context : Analysis of Supply Structure of 39 Selected Antibiotics

    Master-uppsats, Uppsala universitet/Institutionen för samhällsbyggnad och industriell teknik

    Författare :Prasad Sriram; Abhishek Milind; [2020]
    Nyckelord :Antibiotic supply chain; Supply risks; Supply Risk Assessment; MCDA; Risk factors; Risk factor weights; Risk assessment model; PLATINEA; Re-assessment of risks;

    Sammanfattning : The gap between demand and supply for antibiotics in the healthcare sector has seen a steady growth over the past decades, further increasing the risk of antibiotic resistance and unavailability in the Swedish healthcare sector and market. The thesis is part of the work of the multisectoral platform, PLATINEA, which is working towards better availability of antibiotics. LÄS MER