Sökning: "Valueat-Risk"

Hittade 4 uppsatser innehållade ordet Valueat-Risk.

  1. 1. How to Get Rich by Fund of Funds Investment - An Optimization Method for Decision Making

    Master-uppsats, Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

    Författare :Sabina Colakovic; [2022]
    Nyckelord :Modern Portfolio Theory; Markowitz Model; Mean-Variance Optimization; Valueat-Risk; Conditional Value-at-Risk; Geometric Mean Return; Efficient Frontier; Portfolio Optimization; Markowitz 2.0;

    Sammanfattning : Optimal portfolios have historically been computed using standard deviation as a risk measure.However, extreme market events have become the rule rather than the exception. To capturetail risk, investors have started to look for alternative risk measures such as Value-at-Risk andConditional Value-at-Risk. LÄS MER

  3. 2. Anomaly Detection for Portfolio Risk Management : An evaluation of econometric and machine learning based approaches to detecting anomalous behaviour in portfolio risk measures

    Master-uppsats, KTH/Nationalekonomi

    Författare :Simon Westerlind; [2018]
    Nyckelord :Anomaly detection; Outlier Detection; Portfolio management; Risk management; Value-at-Risk; HTM; EWMA; ARIMA; LSTM; GARCH; Anomalidetektering; Avvikelsedetektering; Portföljhantering; Riskhantering; Valueat-Risk; HTM; EWMA; ARIMA; LSTM; GARCH;

    Sammanfattning : Financial institutions manage numerous portfolios whose risk must be managed continuously, and the large amounts of data that has to be processed renders this a considerable effort. As such, a system that autonomously detects anomalies in the risk measures of financial portfolios, would be of great value. 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