Essays about: "Copulas"

Showing result 1 - 5 of 40 essays containing the word Copulas.

  1. 1. A short bit on copulas and alternative versions of Spearmans rho

    University essay from Lunds universitet/Matematisk statistik

    Author : Filip Carlsson; [2023]
    Keywords : Mathematics and Statistics;

    Abstract : This thesis aims to understand copula theory and its application in measuring dependence, particularly in the context of the paper "Multivariate conditional versions of Spearman’s rho and related measures of tail dependence" by Schmid and Schmidt. We clarify certain statements and formulas in Schmid and Schmidt's work, explore the potential of the conditional version of Spearman's rho, and demonstrate empirical versions of copulas and Spearman's rho using a bivariate normal distribution. READ MORE

  2. 2. Risk Assessment of International Mixed Asset Portfolio with Vine Copulas

    University essay from Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakulteten

    Author : Axel Nilsson; [2022]
    Keywords : Vine Copulas; Extreme Value Theory; Financial Risk Management; Vine Copulas; Extremvärdesteori; Finansiell riskhantering;

    Abstract : This thesis gives an example of assessing the risk of a financial portfolio with international assets, where the assets may be of different classes, by the use of Monte Carlo simulation and Extreme Value Theory. The simulation uses univariate modelling, models of the assets’ returns as stochastic processes, as well as vine copulas to create dependency between the variables. READ MORE

  3. 3. Hedging the Term Structure Risk of Carbon Allowance Derivatives : An Application of Stochastic Optimisation to EUA Market Making

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Nikolas Tsigkas; [2022]
    Keywords : Commodity Derivatives; Emissions Trading; Term Structure; Nonparametric Curve Estimation; Hedging; Stochastic Optimisation; Monte Carlosimulation; Market Microstructre; Systematic Risk Factors;

    Abstract : The initiative by the EU to combat global warming through the introduction of a cap-and-trade system for greenhouse gas emissions in 2005, known as the EU Emissions Trading System (ETS), resulted in the inception of a new financial market. The right to emit one tonne of CO2-equivalents, as well as derivatives on this right, have become commodities, traded both through exchanges and over the counter. READ MORE

  4. 4. Considering Tail Events in Hedge Fund Portfolio Optimization

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Josefin Bladh; Holm Greta; [2021]
    Keywords : Portfolio Optimization; Hedge Funds; Tail Events; Mean-CVaR;

    Abstract : The Fourth Swedish National Pension Fund (AP4), as well as many other large investors, has noted deficiencies the Mean-Variance framework for portfolio management of asset with non-normal characteristics. The main problem apparent in the Mean-Variance framework, when investing in alternative assets such as hedge funds, is the lacking systematic control of the balance between the measurements of risk due normal variation and tail-risk. READ MORE

  5. 5. Evaluating Markov Chain Monte Carlo Methods for Estimating Systemic Risk Measures Using Vine Copulas

    University essay from KTH/Matematisk statistik

    Author : Rasmus Guterstam; Vidar Trojenborg; [2021]
    Keywords : Systemic Risk; Value-at-risk; Risk allocation; Risk contributions; Markov Chain Monte Carlo; No-U-Turn Sampler; Metropolis-Hastings; Monte Carlo; Vine Copula; Systemisk Risk; Value-at-risk; Riskallokering; Riskbidrag; Markov Chain Monte Carlo; No-U-Turn Sampler; Metropolis-Hastings; Monte Carlo; Vine Copula;

    Abstract : This thesis attempts to evaluate the Markov Chain Monte Carlo (MCMC) methods Metropolis-Hastings (MH) and No-U-Turn Sampler (NUTS) to estimate systemic risk measures. The subject of analysis is an equity portfolio provided by a Nordic asset management firm, which is modelled using a vine copula. READ MORE