Essays about: "Conditional Value-at-Risk"

Showing result 1 - 5 of 85 essays containing the words Conditional Value-at-Risk.

  1. 1. Value at Risk Estimation using GARCH Family Models: A Comparison of Different Specifications and Distributions.

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Khaled Jrideh; [2023-05-26]
    Keywords : ;

    Abstract : The objective of this study is to compare the performance of different GARCH models, under various conditional distribution assumptions, to predict one-day-ahead Value-at-Risk (VaR) for three stocks: Swedbank, Handelsbanken, and SEB over the Covid-19 period. The performance is evaluated using Kupiec, Christoffersen tests and the Quadratic Loss. READ MORE

  3. 2. Analysing the Optimal Fund Selection and Allocation Structure of a Fund of Funds

    University essay from KTH/Matematik (Avd.)

    Author : Idun Cederberg; Ida Cui; [2023]
    Keywords : Master Thesis; Financial Mathematics; Fund of Funds; Portfolio Optimization; Mean Variance Optimization; Masterexamensarbete; finansiell matematik; fond i fond; portföljoptimering; modern portföljteori;

    Abstract : This thesis aims to investigate different types of optimization methods that can be used when optimizing fund of fund portfolios. Moreover, the thesis investigates which funds that should be included and what their respective portfolio weights should be, in order to outperform the Swedish SIX Portfolio Return Index. READ MORE

  4. 3. 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

  5. 4. Forecasting Value-at-Risk and Expected Shortfall: A comparison of non- and parametric methods for crude oil amidst extreme volatility

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Otto Colbin; Yugam Sharma; [2023]
    Keywords : Value-at-Risk VaR ; Expected Shortfall ES ; Nonparametric estimation methods; Parametric estimation methods; Crude oil.; Business and Economics;

    Abstract : Practitioners primarily utilise nonparametric methods when estimating Value-at- Risk (VaR) and Expected Shortfall (ES) for computing capital requirements. However, various researchers assert that there are issues with those estimates, particularly amidst periods of market turmoil. READ MORE

  6. 5. Rare Earth Metals' Resiliency and Volatility Spillover Effects : A Critical Supply Assessment for Western Technologies From a Risk Management Perspective

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

    Author : Farzam Ebrahimi; Samuel Elm; [2023]
    Keywords : Rare Earth Metals; Interconnectedness; Conditional Volatility; Risk Management; Value at Risk; Event Study;

    Abstract : This paper explores the relationship between Chinese rare earth metals (REMs) and the industries in the U.S and Europe that heavily rely on them. READ MORE