Essays about: "CVAR"

Showing result 1 - 5 of 26 essays containing the word CVAR.

  1. 1. Sustainability performance and market risk. A study of the banking sector

    University essay from Umeå universitet/Företagsekonomi

    Author : Arvid Särkiniemi; Oskar Lindman; [2023]
    Keywords : risk; market risk; sustainability performance; corporate management; bank management; CSR; panel data; parametric VaR; non-parametric VaR; CVaR; VaR; Historical simulation; bank sector; the financial sector; ESG; financial performance.;

    Abstract : The financial crisis of 2007-2008 highlighted the societal impacts of bank risk-taking. A strong focus on maximizing profits for shareholders combined with a disregard for, and  underestimation of risks led to the downfall of large banks such as Lehman Brothers and multiple other banks getting bailed out by several governments and other banks. READ MORE

  3. 2. Stochastic Optimization of Asset Management Project Portfolios: A Risk-Informed Approach

    University essay from KTH/Matematik (Avd.)

    Author : Sebastian Persson; Niklas Hansson; [2023]
    Keywords : Nuclear asset management; Risk-informed asset management; Portfolio optimization; Project selection; Knapsack problem; Monte Carlo simulation; Conditional Value at Risk; Tillgångsförvaltning; Riskinformerad tillgångsförvaltning; Portföljoptimering; Projekturval; Kappsäcksproblem; Monte Carlo simulering; Conditional Value at Risk;

    Abstract : Asset management within the nuclear industry has become an increasingly relevant topic as safety requirements have tightened and energy security has become more important. Asset management ensures performance and reliability in a nuclear facility by balancing costs, opportunities, and risks to get the most out of assets. READ MORE

  4. 3. Spillover Effect on Swedish Inflation : How ECBs interest rate changes effect Swedish inflation

    University essay from Högskolan Dalarna/Institutionen för kultur och samhälle

    Author : Rasmus Ramström; [2023]
    Keywords : Inflation; Cointegration; Vector autoregression; spillover; Sweden;

    Abstract : There is a limited amount of literature regarding spillover effects on inflation. The previous literature is focused on a small number of countries, and on shocks coming from demand and supply. READ MORE

  5. 4. The Energy Transition: The Behavior of Renewable Energy Stock During Times of Energy Security Uncertainty : A firm-specific study of the volatility characteristics, crucial drivers & uncertainties of renewable energy stock

    University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

    Author : Philip Igeland; Leon Schroeder; [2022]
    Keywords : Renewable energy; Energy security; Green metals; Uncertainty; MS-GARCH;

    Abstract : The global energy sector is experiencing an transition towards renewable energy, a transition that is mainly driven by issues related to climate change and energy security. In this paper, we investigate the time-varying volatility and risk measures of renewable energy and traditional energy firms. READ MORE

  6. 5. Evaluation of portfolio optimization methods on decentralized assets and hybridized portfolios

    University essay from KTH/Matematik (Avd.)

    Author : Reza Salam Dalfi; Noel Mattar; [2022]
    Keywords : Traditional assets; DeFi; Cryptocurrencies; CVAR; FLPM; MSV; Portfolio; Optimization; Risk measurements; Traditionella tillgångar; DeFi; Cryptocurrencies; CVAR; FLPM; MSV; Portfölj optimering; Riskmått;

    Abstract : The market for decentralised financial instruments, more commonly known as cryptocurrencies, has gained momentum over the past recent years and the application areas are many. Modern portfolio theory has for years demonstrated its applicability to traditional assets, such as equities and other instruments, but to some extent omitted the application of mathematical portfolio theory with respect for cryptocurrencies. READ MORE