Essays about: "tail dependence"

Showing result 11 - 15 of 19 essays containing the words tail dependence.

  1. 11. Investment in Value: A Copula Approach

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Gustaf Soldan Patrikson; Victor Andrée; [2016]
    Keywords : factor investing; copula; tail dependence; diversification;

    Abstract : We evaluate how factor equity strategies are optimally combined, focusing on the role of the value factor (HML) against the background of a recent academic discussion about its potential redundancy, and the discovery of the investment (CMA) and profitability (RMW) factors. The analysis is centered around a conditional joint return distribution from a dynamic copula model, which allows for simulation with a time-varying and non-normal dependence structure. READ MORE

  3. 12. Tail Dependence Considerations for Cross-Asset Portfolios

    University essay from KTH/Matematisk statistik

    Author : Johanna Trost; [2016]
    Keywords : ;

    Abstract : Extreme events, heaviness of log return distribution tails and bivariate asymptotic dependence are important aspects of cross-asset tail risk hedging and diversification. These are in this thesis investigated with the help of threshold copulas, scalar tail dependence measures and bivariate Value-at-Risk. READ MORE

  4. 13. On Modeling Operational Risk using Extreme Value Theory

    University essay from Lunds universitet/Matematisk statistik

    Author : Valentin Kästner; [2016]
    Keywords : Mathematics and Statistics;

    Abstract : The main goal of this thesis is to show how operational risk can be measured if even the use of standard extreme value theory fails to explain single catastrophic events in the tail of the distribution. Against the background of regulatory requirements imposed by the Basel Accords, an Advanced Measurement Approach (AMA) is developed for a dataset of operational losses occurred in US businesses between 1985 and 2008. READ MORE

  5. 14. On Climate Change and Its Impact on Extreme Rainfall in Bangladesh

    University essay from Lunds universitet/Matematisk statistik

    Author : Nasrin Sultana; [2015]
    Keywords : Key words: generalized extreme value distribution; generalized Pareto distribution; return level; bivariate extreme value distribution; bivariate generalized Pareto distribution; climate change; dependence.; Mathematics and Statistics;

    Abstract : In recent years extreme value distributions have attracted a fair amount of attention in literature for risk assessment based on climate data. This thesis focuses on modeling a series of rainfall data over 58 years in the period 1954-2012 recorded at five different stations in Bangladesh. READ MORE

  6. 15. Analysis of Copula Opinion Pooling with Applications to Quantitative Portfolio Management

    University essay from KTH/Matematisk statistik

    Author : Rickard Bredeby; [2015]
    Keywords : Copula opinion pooling; copulas; t copula; views; tail dependence; maximum likelihood; VaR; ES; mean-ES trade-off; portfolio theory; portfolio management; allocation; kernel estimation; correlation.;

    Abstract : In 2005 Attilio Meucci presented his article Beyond Black-Litterman: Views on Non-Normal Markets which introduces the copula opinion pooling approach using generic non-normal market assumptions. Copulas and opinion pooling are used to express views on the market which provides a posterior market distribution that smoothly blends an arbitrarily distributed market prior distribution with arbitrarily chosen views. READ MORE