Sökning: "models of financial risk management"

Visar resultat 1 - 5 av 121 uppsatser innehållade orden models of financial risk management.

1. 1. Beyond the Crisis: A Safe Haven Analysis : Empirical Insights into the Divergence of Gold and Bonds for Portfolio Hedging

   Kandidat-uppsats, Umeå universitet/Företagsekonomi

   Författare :Anthony Baugi; Eugene Zhang; [2024]
   Nyckelord :Gold; Bonds; Safe Haven; Hedging; US Treasury; Volatility; Covid; Portfolio Theory; Asset Dynamics; Fiscal Policy; Monetary Policy; Financial Crisis; Asset Management; Risk Management; Portfolio Risk;

   Sammanfattning : Purpose: This thesis investigates the relationship concerning traditional safe haven assets, gold and US 10-year treasury bonds during periods of market instability, specifically during the economic concerns raised by the COVID-19 pandemic. It assesses the hedging and safe haven properties of these assets and their dynamic nature throughout two periods of unconventional monetary and fiscal policy measures by the Federal Reserve & US Congress respectively. LÄS MER

3. 2. CAViaR and Cross-sectional quantile regression models to assess risk in S&P500 sectors

   Master-uppsats, Göteborgs universitet/Graduate School

   Författare :Vladyslava Bab’yak; [2023-06-29]
   Nyckelord :Value-at-Risk; CAViaR; cross-sectional quantile regression; ; risk;

   Sammanfattning : The aim of this thesis is to investigate the performance of different models used in risk management to identify and control risks that may negatively impact company operations due to unpredictable events. More specifically, the object of this paper is the discussion of a cross-sectional quantile regression model (CSQR) and the CAViaR model, which is a time series quantile regression model. LÄS MER

4. 3. Explainable Artificial Intelligence and its Applications in Behavioural Credit Scoring

   Master-uppsats, Stockholms universitet/Institutionen för data- och systemvetenskap

   Författare :Robert Iain Salter; [2023]
   Nyckelord :Behavioural Credit Scoring; Deep Learning; Machine Learning; Long Short-Term Memory; Default Prediction;

   Sammanfattning : Credit scoring is critical for banks to evaluate new loan applications and monitor existing customers. Machine learning has been extensively researched for this case; however, the adoption of machine learning methods is minimal in financial risk management. LÄS MER

5. 4. Aktiemarknadsprognoser: En jämförande studie av LSTM- och SVR-modeller med olika dataset och epoker

   Kandidat-uppsats, Malmö universitet/Fakulteten för teknik och samhälle (TS)

   Författare :Mads Nørklit Johansen; Jagtej Sidhu; [2023]
   Nyckelord :Stock Market Prediction; Long-Short Term Memory; Support Vector Regression; Prediction Accuracy; Financial Investments;

   Sammanfattning : Predicting stock market trends is a complex task due to the inherent volatility and unpredictability of financial markets. Nevertheless, accurate forecasts are of critical importance to investors, financial analysts, and stakeholders, as they directly inform decision-making processes and risk management strategies associated with financial investments. LÄS MER

7. 5. Volatility Modelling in the Swedish and US Fixed Income Market : A comparative study of GARCH, ARCH, E-GARCH and GJR-GARCH Models on Government Bonds

   Kandidat-uppsats, Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

   Författare :Sebastian Mortimore; William Sturehed; [2023]
   Nyckelord :GARCH; ARCH; GJR-GARCH; E-GARCH; ARMA; Government Bonds; Volatility; Loss functions; Fixed Income Market and realized volatility.; ARCH; GARCH; GJR-GARCH; E-GARCH; Statsobligationer och Volatilitet;

   Sammanfattning : Volatility is an important variable in financial markets, risk management and making investment decisions. Different volatility models are beneficial tools to use when predicting future volatility. The purpose of this study is to compare the accuracy of various volatility models, including ARCH, GARCH and extensions of the GARCH framework. LÄS MER