Sökning: "Vine Copulas"

Hittade 4 uppsatser innehållade orden Vine Copulas.

  1. 1. Copula modeling for Portfolio Return Analysis

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Markus Gustafsson; [2023]
    Nyckelord :applied mathematics; copulas; tillämpad matematik; copulas;

    Sammanfattning : In this thesis, we investigate the advantages of using high-dimensional copula modeling to understand the riskiness of portfolio investments and to more realistically estimate future portfolio values. Our approach involves benchmarking some pre-determined fitted copulas to the 0. LÄS MER

  3. 2. Risk Assessment of International Mixed Asset Portfolio with Vine Copulas

    Kandidat-uppsats, Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakulteten

    Författare :Axel Nilsson; [2022]
    Nyckelord :Vine Copulas; Extreme Value Theory; Financial Risk Management; Vine Copulas; Extremvärdesteori; Finansiell riskhantering;

    Sammanfattning : This thesis gives an example of assessing the risk of a financial portfolio with international assets, where the assets may be of different classes, by the use of Monte Carlo simulation and Extreme Value Theory. The simulation uses univariate modelling, models of the assets’ returns as stochastic processes, as well as vine copulas to create dependency between the variables. LÄS MER

  4. 3. Considering Tail Events in Hedge Fund Portfolio Optimization

    Master-uppsats, Linköpings universitet/Produktionsekonomi

    Författare :Josefin Bladh; Holm Greta; [2021]
    Nyckelord :Portfolio Optimization; Hedge Funds; Tail Events; Mean-CVaR;

    Sammanfattning : The Fourth Swedish National Pension Fund (AP4), as well as many other large investors, has noted deficiencies the Mean-Variance framework for portfolio management of asset with non-normal characteristics. The main problem apparent in the Mean-Variance framework, when investing in alternative assets such as hedge funds, is the lacking systematic control of the balance between the measurements of risk due normal variation and tail-risk. LÄS MER

  5. 4. Evaluating Markov Chain Monte Carlo Methods for Estimating Systemic Risk Measures Using Vine Copulas

    Master-uppsats, KTH/Matematisk statistik

    Författare :Rasmus Guterstam; Vidar Trojenborg; [2021]
    Nyckelord :Systemic Risk; Value-at-risk; Risk allocation; Risk contributions; Markov Chain Monte Carlo; No-U-Turn Sampler; Metropolis-Hastings; Monte Carlo; Vine Copula; Systemisk Risk; Value-at-risk; Riskallokering; Riskbidrag; Markov Chain Monte Carlo; No-U-Turn Sampler; Metropolis-Hastings; Monte Carlo; Vine Copula;

    Sammanfattning : This thesis attempts to evaluate the Markov Chain Monte Carlo (MCMC) methods Metropolis-Hastings (MH) and No-U-Turn Sampler (NUTS) to estimate systemic risk measures. The subject of analysis is an equity portfolio provided by a Nordic asset management firm, which is modelled using a vine copula. LÄS MER