Essays about: "BETA FINANCE"

Showing result 1 - 5 of 11 essays containing the words BETA FINANCE.

1. 1. A multi-gene symbolic regression approach for predicting LGD : A benchmark comparative study

   University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

   Author : Hanna Tuoremaa; [2023]
   Keywords : Symbolic regression; loss given default; credit risk; logit transformed regression; beta regression; multi-gene genetic programming; regression tree;

   Abstract : Under the Basel accords for measuring regulatory capital requirements, the set of credit risk parameters probability of default (PD), exposure at default (EAD) and loss given default (LGD) are measured with own estimates by the internal rating based approach. The estimated parameters are also the foundation of understanding the actual risk in a banks credit portfolio. READ MORE

3. 2. Spectral Portfolio Optimisation with LSTM Stock Price Prediction

   University essay from KTH/Matematisk statistik

   Author : Nancy Wang; [2020]
   Keywords : Artificial Neural Network; LSTM; Spectral factor model; Portfolio optimisation; Stock price prediction; Time series analysis; Risk estimation; Spectral risk; Frequency-specific beta decomposition; Artificiella neurala nätverk; LSTM; Spektralfaktormodell; Portföljoptimering; Aktieprispredikering; Tidsserieranalys; Riskestimering; Spektra risk; Frekvensspecifik beta dekomposition;

   Abstract : Nobel Prize-winning modern portfolio theory (MPT) has been considered to be one of the most important and influential economic theories within finance and investment management. MPT assumes investors to be riskaverse and uses the variance of asset returns as a proxy of risk to maximise the performance of a portfolio. READ MORE

4. 3. Developing an Advanced Internal Ratings-Based Model by Applying Machine Learning

   University essay from KTH/Matematisk statistik

   Author : Aso Qader; William Shiver; [2020]
   Keywords : Internal-Ratings Based Approach; Machine Learning; Zero-Inflated Beta Regression; Capital Requirement; Basel Accords;

   Abstract : Since the regulatory framework Basel II was implemented in 2007, banks have been allowed to develop internal risk models for quantifying the capital requirement. By using data on retail non-performing loans from Hoist Finance, the thesis assesses the Advanced Internal Ratings-Based approach. READ MORE

5. 4. SUSTAINABLE TAX PLANNING : Investigating the relationship between ESG and tax aggressiveness

   University essay from Umeå universitet/Företagsekonomi

   Author : André Myhrberg; Johannes Harnesk; [2019]
   Keywords : ESG; Sustainability; Tax Aggressiveness; Tax Planning; Finance; Business Administration;

   Abstract : The footprint firms leave behind on this planet is widely discussed, and the topic of corporate social responsibility is constantly receiving additional attention. The gravity of working towards a more sustainable way of conducting business is illustrated by the incentivized tax system in various countries, where CSR can render tax deductions. READ MORE

6. 5. The Financial Effects of Going Public on Football Clubs

   University essay from Högskolan i Jönköping/IHH, Economics, Finance and Statistics

   Author : Gareth Low; Fredrik Karlsson; [2015]
   Keywords : IPO; Underperformance; Cumulative Abnormal Returns; Alpha; Football;

   Abstract : In this thesis we analyze the financial performance of Football clubs following an initial public offering (IPO). We conduct several analyses using time series stock data with a focus on finding evidence of long-run underperformance and IPO over/underpricing. To this end, we estimate cumulative abnormal returns (CAR) and Jensen’s Alpha. READ MORE