Essays about: "Contribution Expected Shortfall"
Showing result 1 - 5 of 6 essays containing the words Contribution Expected Shortfall.
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1. Comparing Risk Parity Portfolios Does a Tail-Risk Parity strategy provide better downside protection than the Risk Parity strategy during economic crisis?
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This thesis evaluates the risk parity and tail-risk parity approach against conventional weight budgeting approach. The risk parity and tail-risk parity approach, in contrast to weight budgeting approach, is about distributing the risk between the asset classes in the portfolio. READ MORE
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2. A Quantitative Evaluation of Systemic Risk in the European Banking Sector
University essay from Göteborgs universitet/Graduate SchoolAbstract : This paper proposes a cross-section analysis of systemic risk in the European banking sector. The absence of a general definition of systemic risk makes it difficult to use a single, practically relevant model. READ MORE
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3. Evaluating VaR and ES for commodities - both conventionally and with neural networks
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : As commodities are becoming more popular and accessible assets for speculative and hedging purposes, the limited research regarding risk management for said asset-class justifies further contribution to the deficient output. Many previous studies have highlighted the extraordinary high volatility, with non-linear and clustering characteristics associated with commodities. READ MORE
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4. Applying Multivariate Expected Shortfall on High Frequency Foreign Exchange Data
University essay from KTH/Matematisk statistikAbstract : This thesis aims at implementing and evaluating the performance of multivariate Expected Shortfall models on high frequency foreign exchange data. The implementation is conducted with a unique portfolio consisting of five foreign exchange rates; EUR/SEK, EUR/NOK, EUR/USD, USD/SEK and USD/NOK. READ MORE
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5. Robust portfolio optimization with Expected Shortfall
University essay from KTH/Matematisk statistikAbstract : This thesis project studies robust portfolio optimization with Expected Short-fall applied to a reference portfolio consisting of Swedish linear assets with stocks and a bond index. Specifically, the classical robust optimization definition, focusing on uncertainties in parameters, is extended to also include uncertainties in log-return distribution. READ MORE