Essays about: "Portfolio Stress Test"

Showing result 1 - 5 of 13 essays containing the words Portfolio Stress Test.

1. 1. Risk Management and Sustainability - A Study of Risk and Return in Portfolios With Different Levels of Sustainability

   University essay from KTH/Matematik (Avd.)

   Author : Magnus Borg; Lucas Ternqvist; [2023]
   Keywords : ESG; Value-at-Risk VaR ; Expected Shortfall ES ; Risk Management; Financial Risk; Financial Mathematics; Sustainability; Portfolio Management; Capital Asset Pricing Model CAPM ; Hållbarhet; Value-at-Risk VaR ; Expected Shortfall ES ; Riskhantering; Finansiell Risk; Finansiell Matematik; Portföljkonstruktion;

   Abstract : This thesis examines the risk profile of Electronically Traded Funds and the dependence of the ESG rating on risk. 527 ETFs with exposure globally were analyzed. Risk measures considered were Value-at-Risk and Expected Shortfall, while some other metrics of risk was used, such as the volatility, maximum drawdown, tail dependece, and copulas. READ MORE

3. 2. Allocation of Alternative Investments in Portfolio Management. : A Quantitative Study Considering Investors' Liquidity Preferences

   University essay from KTH/Matematik (Avd.)

   Author : Kamyar Espahbodi; Roumi Roumi; [2021]
   Keywords : Shadow Allocations; Liquidity; Illiquidity; Alternative Assets; Liquid Assets; Illiquid Assets; Investor Preferences; Monte Carlo Simulations; Tangency Portfolio; Global Minimum Risk Portfolio; Skuggallokeringar; Likviditet; Illikviditet; Alternativa Tillgångar; Likvida Tillgångar; Illikvida Tillgångar; Investerarpreferenser; Monte Carlo-Simuleringar; Tangentportföljen; Minimiriskportföljen;

   Abstract : Despite the fact that illiquid assets pose several difficulties regarding portfolio allocation problems for investors, more investors are increasing their allocation towards them. Alternative assets are characterized as being harder to value and trade because of their illiquidity which raises the question of how they should be managed from an allocation optimization perspective. READ MORE

4. 3. STRESS TESTING AN SME PORTFOLIO : Effects of an Adverse Macroeconomic Scenario on Credit Risk Transition Matrices

   University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

   Author : Siri Almqvist; Oskar Nordin; [2021]
   Keywords : Stress test; SME; Transition Matrix; Credit Risk; Statistical Analysis; Machine Learning;

   Abstract : The financial crisis of 2007-2008 was a severe global crisis causing a worldwide recession. One of the main contributing factors of the crisis was the excessive risk appetite of banks and financial institutions. READ MORE

5. 4. Credit Risk and Asset Correlation Modelling for the Swedish Market: A Comparative Analysis

   University essay from KTH/Matematisk statistik

   Author : Carl Axel Jönsson; Ludvig Hamilton; [2019]
   Keywords : Credit Risk; Economic Capital; Value-at-Risk; Intra-sector correlation; Inter-sector correlation; Copula; Basel III; Kreditrisk; Ekonomiskt kapital; Value-at-Risk; Intra-sektorkorrelation; Inter-sektorkorrelation; Copula; Basel III;

   Abstract : In order to ensure solvency, financial institutions must evaluate their credit risk exposure and determine how much economic capital is required to hold as a cushion. This thesis compares three factor models, namely Asymptotic Single Risk Factor (“ASRF”), Inter-sector and Intra-sector factor models and evaluates how their different characteristics affect the economic capital outcomes. READ MORE

6. 5. Transition Matrices Conditional on Macroeconomic Cycles: A Portfolio Stress-Test Application

   University essay from Göteborgs universitet/Graduate School

   Author : Jesper Karlsson; [2018-07-04]
   Keywords : Risk Management; Migration Analysis; Intensity Models; IFRS 9; Basel Accords; Portfolio Stress Test;

   Abstract : Transition matrices show the probabilities of credit rating migrations for a pool of ratings within a particular industry, geographical area, time-horizon, etc. Regulation, in the form of Basel accords, has opted for standards in banking that among other techniques use transition matrices, and thus the probability of default, for internally-based risk-assessment, as well as incorporating the external credit rating in the capital requirement calculation. READ MORE