Essays about: "Asset Market Simulation"

Showing result 16 - 20 of 22 essays containing the words Asset Market Simulation.

  1. 16. ASSET PRICING WITH HIGHER COMOMENTS

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Laith Hirzallah; Edin Filipovic; [2015]
    Keywords : Business and Economics;

    Abstract : Empirical and theoretical research has for some time argued that investors also expect rewards for bearing risk related to higher moments. This thesis examines if inclusion of coskewness and cokurtosis helps to explain the variation in asset returns. READ MORE

  3. 17. Dependence Modelling and Risk Analysis in a Joint Credit-Equity Framework

    University essay from KTH/Matematisk statistik

    Author : Fredrik Backman; [2015]
    Keywords : ;

    Abstract : This thesis is set in the intersection between separate types of financial markets, with emphasis on joint risk modelling. Relying on empirical findings pointing toward the ex- istence of dependence across equity and corporate debt markets, a simulation framework intended to capture this property is developed. READ MORE

  4. 18. Relationship between Currency Carry Trades and Gold Returns : A quantitative study of G-10 currencies: correlation and spillover effects for the last two decades.

    University essay from Umeå universitet/Företagsekonomi

    Author : Johannes Hornbrinck; Jonas Olausson; [2014]
    Keywords : Gold; Currency Carry Trades; Carry Trades; Portfolio choice; Sweden; Gold Hege; Gold diversifier; Gold safe-haven; UIP; Relationship;

    Abstract : Currency carry trade is an investment strategy that recently started gaining a lot of interest not only among investors and financial institutions but also academically. One of the underlying theoretical assumptions regarding the mechanisms of the foreign exchange market, the Uncovered Interest Parity has frequently been disproved in practice which has led to the conclusion that carry trade is profitable in practice. READ MORE

  5. 19. Measuring Contagion Effects in the Swedish Banking Sector using Round by Round Simulation

    University essay from Örebro universitet/Handelshögskolan vid Örebro Universitet

    Author : Tobias Killmann; [2013]
    Keywords : ;

    Abstract : Banks play a central role in the Swedish financial markets by covering over 50% of total assets and providing essential intermediary services. The financing opportunities over the interbank market are highly important for a well performing financial system and consequently for the whole economy. READ MORE

  6. 20. Inter-Asset-Class Volatility - A Forward Looking Measure Rooted in Investors' Realities

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Markus Thomas; [2012]
    Keywords : Volatility regimes; Risk; Portfolio optimization;

    Abstract : The aim of this study is to better understand the causes of repeated periods of extreme volatility in financial systems The study conceptualizes and quantifies Inter-Asset-Class Volatility (IAV) as a for-ward looking proxy for volatility in financial system to reframe the phenomenon in a reality oriented setting. IAV aims to capture the total revaluation potential arising from reallocations among all asset classes in the analyzed system. READ MORE