Essays about: "var portfolio"
Showing result 1 - 5 of 126 essays containing the words var portfolio.
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1. Modelling the Exchange Rate: Evidence from the Impacts of Quantitative Easing in Sweden
University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomiAbstract : Quantitative easing, the unconventional monetary policy measure used by many central banks to combat low inflation when interest rates are at the lower bound, has shown to be an effective tool for depreciating the domestic currency. Although the exchange rate is of particular importance in a small open economy as it directly impacts inflation dynamics,trade competitiveness and plays a substantial role in shaping monetary policy, few papers have investigated how the depreciating effect of QE to the exchange rate works. READ MORE
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2. Risk Management and Sustainability - A Study of Risk and Return in Portfolios With Different Levels of Sustainability
University essay from KTH/Matematik (Avd.)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
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3. A Journey Through the World of Compression with IRS Contracts
University essay from Umeå universitet/Institutionen för fysikAbstract : By participating in the market a party buys and sells different types of contracts resulting in the collection of contracts growing. With a large collection of contracts come the hurdles of an increasing operational cost, a harder-to-manage order book, and an increase in counterparty risk. READ MORE
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4. Dispersion Trading: A Way to Hedge Vega Risk in Index Options
University essay from KTH/Matematik (Avd.)Abstract : Since the introduction of derivatives to the financial markets, volatility trading has emerged as a method for investors to make money in every market condition. In parallel with introducing derivatives to the financial markets, hedging methods have emerged and are today essential instruments for the liquidity providers active in the markets. READ MORE
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5. Operational resilience strategies in times of global disruptions : A study of a Swedish national energy company
University essay from KTH/Skolan för industriell teknik och management (ITM)Abstract : This study investigates strategies for improving the operational resilience, i.e. an organisation’s capacity to minimise, manage, and recover from disruptions quickly, ensuring continuity in its primary business processes. READ MORE