Sökning: "non-stationary market risk exposure"

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  1. 1. Estimating the Market Risk Exposure through a Factor Model with Random Effects

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

    Författare :Lukas Börjesson; [2022]
    Nyckelord :Market risk exposure; non-stationary market risk exposure; non-stationary idiosyncratic risk; factor model; linear regression; linear mixed model; random effects; mixture of gaussians.;

    Sammanfattning : In this thesis, we set out to model the market risk exposure for 251 stocks in the S&P 500 index, during a ten-year period between 2011-04-30 and 2021-03-31. The study brings to light a model not often mentioned in the scientific literature focused on market risk estimation, the linear mixed model. LÄS MER