Essays about: "Asset Market Simulation"

Showing result 21 - 22 of 22 essays containing the words Asset Market Simulation.

  1. 21. An empirical evaluation of Value at Risk

    University essay from Göteborgs universitet/Företagsekonomiska institutionen

    Author : Martin Gustafsson; Caroline Lundberg; [2009-01-30T09:53:45Z]
    Keywords : Value at Risk; return characteristics; historical simulation; moving average; GARCH; normal distribution; Brentoil; OMXs30; Swedish treasurybills;

    Abstract : In light of the recent financial crisis, risk management has become a very current issue. One of the most intuitive and comprehendible risk measures is Value at Risk (VaR). VaR puts a monetary value on the risk that arises from holding an asset and is defined as the “the worst loss over a target horizon with a given level of confidence”. READ MORE

  3. 22. The Ising Model on a Random Graph Applied to Interacting Agents on the Financial Market

    University essay from Högskolan i Halmstad/Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)

    Author : Ida Karlson; [2007]
    Keywords : Financial Market; Interacting Agents; Ising Model; Random Graph; Perfect Simulation;

    Abstract : In this thesis we present a model of the interacting agents on the financial market. The agents are represented by a non-Euclidean random graph, where each agent communicate with another with probability p, and the interaction according to the Ising Model. READ MORE