Essays about: "jump risk"

Showing result 1 - 5 of 11 essays containing the words jump risk.

  1. 1. Dynamic Credit Models : An analysis using Monte Carlo methods and variance reduction techniques

    University essay from KTH/Matematisk statistik

    Author : Emelie Järnberg; [2016]
    Keywords : Credit risk; Dynamic credit modelling; Stochastic process; Monte Carlo; Importance sampling; Antithetic variates; Probability matrix method; Default probability; Default event; Variance reduction;

    Abstract : In this thesis, the credit worthiness of a company is modelled using a stochastic process. Two credit models are considered; Merton's model, which models the value of a firm's assets using geometric Brownian motion, and the distance to default model, which is driven by a two factor jump diffusion process. READ MORE

  2. 2. An Empirical Analysis of the Influence of Jump Dynamics on Value-at-Risk Estimation

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Christian Vogl; [2016]
    Keywords : GARJI; Autoregressive Conditional Jump Intensity; Leptokurtic GARCH models; VaR; Backtesting; Business and Economics;

    Abstract : Abstract Recent financial crises have demonstrated the importance of accurately measuring financial risks in order to be able to employ mitigating risk policies. This essay investigates the question whether a GARCH model augmented by an autoregressive conditional jump intensity component can improve value-at-risk forecasts in comparison to common GARCH models. READ MORE

  3. 3. Pricing of CO2 Emission Allowance Derivatives

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Oscar Göransson; Sebastian Berggren; [2016]
    Keywords : CO2; EUA; GARCH; JUMP-DIFFUSION;

    Abstract : The aim of this paper is to analyse the pricing of carbon emission allowance futures and futures options to see how they can help us understand the intuition behind spot prices of the underlying emission allowance. We use data from the third time period within the European Union Emissions Trading Scheme. READ MORE

  4. 4. Why Do We Hate Brands? : A qualitative study of how the dark side of branding is influenced by group identification

    University essay from Umeå universitet/Företagsekonomi; Umeå universitet/Företagsekonomi

    Author : Lucas Rodrigues; Daniel Karlsson; [2015]
    Keywords : Brand Hate; Non-customers; Group Identification; Reference Groups; Perception of brands; Brand Image;

    Abstract : AbstractThe purpose of this thesis was to gain a better understanding of the relatively new concept of Brand Hate. More specifically, how Brand Hate can occur in people with no to little experience with certain brands, so called non-customers. READ MORE

  5. 5. The effects on knee angular velocity after a 6-weeks training period with the new training device ProPrioPlate- a pilot study

    University essay from Högskolan i Halmstad/Biomekanik och biomedicin

    Author : Johan Herö; [2014]
    Keywords : angular velocity; knee stability; knee abduction;

    Abstract : AbstractBackground: ACL injuries is common and can result in long term disability or even have a career ending outcome for the athlete. Women are more exposed to ACL injuries than men are and several factors increase the risk of ACL injuries for women where one is the knee angle velocity. READ MORE