Essays about: "Copulas."

Showing result 11 - 15 of 44 essays containing the word Copulas..

  1. 11. Distributional Dynamics of Fama-French Factors in European Markets

    University essay from KTH/Matematisk statistik

    Author : Wilmer Löfgren; [2020]
    Keywords : Fama-French factors; NGARCH; Copula; Value-at-Risk; Risk model evaluation; Fama-French-faktorer; NGARCH; Copula; Value-at-Risk; Utvärdering av riskmodeller;

    Abstract : The three-factor model of Fama and French has proved to be a seminal contribution to asset pricing theory, and was recently extended to include two more factors, yielding the Fama-French five-factor model. Other proposed augmentations of the three-factor model includes the introduction of a momentum factor by Carthart. READ MORE

  3. 12. Multivariate Risk: From Univariate to High-Dimensional Graphical Models

    University essay from Lunds universitet/Statistiska institutionen

    Author : Erik Oldehed; [2020]
    Keywords : Block Maxima; Mean Excess Plot; Tail Risk; Cross-Validation Threshold Selection; Graphical Lasso; Nonparanormal Distribution.; Mathematics and Statistics;

    Abstract : We present a comparison of different univariate and multivariate extreme value risk models. Our focus is on exploring how these can be used to model financial risk. We use simulated as well as real data and compare deterministic and cross-validation threshold selection methods for the GP model to a GEV model. READ MORE

  4. 13. Simulation-Based Portfolio Optimization with Coherent Distortion Risk Measures

    University essay from KTH/Matematisk statistik

    Author : Andreas Prastorfer; [2020]
    Keywords : Risk Management; Portfolio Optimization; Conditional Value-at-Risk; Coherent Distortion Riks Measures; Elliptical Distribution; GARCH model; Normal Copulas; Extreme Value Theory; Risk Contributions; Riskhantering; Portföljoptimering; Conditional Value-at-Risk; Koherenta distortionsriskmått; Elliptiska fördelningar; GARCH modeller; Normal-copula; Extremvärdes teori; Riskbidrag;

    Abstract : This master's thesis studies portfolio optimization using linear programming algorithms. The contribution of this thesis is an extension of the convex framework for portfolio optimization with Conditional Value-at-Risk, introduced by Rockafeller and Uryasev. READ MORE

  5. 14. Scenario Creation for Stress Testing Using Copula Transformation

    University essay from Umeå universitet/Institutionen för fysik

    Author : Gustav Nystedt; [2019]
    Keywords : Stress Testing; Stress Testing Scenarios; Scenario Generation; Copulas; t-copulas; Copula Transformation;

    Abstract : Due to turbulence in the financial market throughout history, stress testing has become a growing part of the risk analysis performed by clearing houses. Events connected to previous crises have increased the demand for prudent risk exposure, and in this thesis we investigate regulators view on how CCPs should construct risk scenarios to meet best practice for stress testing their members’ composite portfolios. READ MORE

  6. 15. Credit Risk and Asset Correlation Modelling for the Swedish Market: A Comparative Analysis

    University essay from KTH/Matematisk statistik

    Author : Carl Axel Jönsson; Ludvig Hamilton; [2019]
    Keywords : Credit Risk; Economic Capital; Value-at-Risk; Intra-sector correlation; Inter-sector correlation; Copula; Basel III; Kreditrisk; Ekonomiskt kapital; Value-at-Risk; Intra-sektorkorrelation; Inter-sektorkorrelation; Copula; Basel III;

    Abstract : In order to ensure solvency, financial institutions must evaluate their credit risk exposure and determine how much economic capital is required to hold as a cushion. This thesis compares three factor models, namely Asymptotic Single Risk Factor (“ASRF”), Inter-sector and Intra-sector factor models and evaluates how their different characteristics affect the economic capital outcomes. READ MORE