Sökning: "risk-measurement"

Visar resultat 1 - 5 av 36 uppsatser innehållade ordet risk-measurement.

1. 1. Risk measurement of cryptocurrencies using value at risk and expected shortfall

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Van Cao Thi Hong; [2022]
   Nyckelord :cryptocurrencies; value at risk; expected shortfall; risk measurement; parametric methods; non-parametric methods; EWMA; GARCH; EGARCH; GJRGARCH; backtesting; Business and Economics;

   Sammanfattning : Cryptocurrencies are highly volatile and risky assets, therefore, it is of vital importance to find an appropriate model for risk measurement. This thesis compares three parametric and three non-parametric estimation methods to estimate the value at risk and the expected shortfall of five cryptocurrencies, namely Bitcoin (BTC), Ethereum (ETH), Binance coin (BNB), Ripple coin (XRP), and Cardano (ADA). LÄS MER

3. 2. Prediction of Credit Risk using Machine Learning Models

   Uppsats för yrkesexamina på avancerad nivå, Uppsala universitet/Signaler och system

   Författare :Philip Isaac; [2022]
   Nyckelord :Credit Risk; Credit Risk Scorecard; Machine Learning; Artificial Intelligence; AI; Logistic Regression; eXtreme Gradient Boosting; ROC-AUC; Binning; Cross-Validation; Correlation;

   Sammanfattning : This thesis aims to investigate different machine learning (ML) models and their performance to find the best performing model to predict credit risk at a specific company. Since granting credit to corporate customers is a part of this company's core business, managing the credit risk is of high importance. LÄS MER

4. 3. Risk Measurement and Performance Attribution for IRS Portfolios Using a Generalized Optimization Method for Term Structure Estimation

   Master-uppsats, Linköpings universitet/Produktionsekonomi

   Författare :Fredrik Gerdin Börjesson; Christoffer Eduards; [2021]
   Nyckelord :Interest rate measurement; term structures; multiple yield curves; principal component analysis; systematic risk; risk factors; term structure simulation; Latin hypercube sampling with dependence; risk measurement; value-at-risk; expected shortfall; interest rate swap; performance attribution;

   Sammanfattning : With the substantial size of the interest rate markets, the importance of accurate pricing, risk measurement and performance attribution can not be understated. However, the models used on the markets often have underlying issues with capturing the market's fundamental behavior. LÄS MER

5. 4. Black Swan Investments : How to manage your investments when the market is in distress

   Kandidat-uppsats, Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

   Författare :William Knutsson; David Ekeroth; [2020]
   Nyckelord :Black Swans; mean reversion; beta; investment strategy; volatility; CAPM; Sharpe ratio; DJIA;

   Sammanfattning : This study examines how investors can take advantage of Black Swan events by applying an investment strategy that involves investing in stocks that have performed badly during Black Swan events. The stocks are chosen from and compared to the Dow Jones Industrial Average Index. LÄS MER

7. 5. Research on Credit Risk Measurement of China’s Listed Companies with KMV Model

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Tong Liu; Xiuyi Chen; [2020]
   Nyckelord :Credit risk measurement model; KMV model; Z-Score model; ST companies; ROC curve.; Business and Economics;

   Sammanfattning : This thesis takes 200 Chinese listed companies as examples within ten years from 2009 to 2018, of which 100 are ST companies and the other 100 are non-ST companies. ST company is a company that has financial problems and was then implemented with special treatment by the China Securities Regulatory Commission. LÄS MER