Essays about: "FTSE 100"

Showing result 1 - 5 of 16 essays containing the words FTSE 100.

  1. 1. 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

  2. 2. Value at Risk and Expected Shortfall risk measures using Extreme Value Theory

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Peter Johansson; [2019-01-22]
    Keywords : Extreme Value Theory; Generalized Pareto Distribution; Point-Over-Threshold method; risk measures; Value at Risk; Expected Shortfall;

    Abstract : Calculating risk measures as Value at Risk (VaR) and Expected Shortfall (ES) has become popular for institutions and agents in financial markets. A main drawback with these risk measures is that they traditionally assume a specific distribution, as the Normal distribution or the Student’s t distribution. READ MORE

  3. 3. Do Dividend Yields Affect a Stock Price's Volatility? : Does the Miller & Modigliani Theroem apply to the Euronext and London Stock Exchange?

    University essay from Högskolan i Jönköping/IHH, Nationalekonomi; Högskolan i Jönköping/IHH, Nationalekonomi

    Author : Joe Hoffmann; Nicholas Marriott; [2019]
    Keywords : Dividend Yield; Stock Price Volatility; Bird in Hand Theory; BIHH; Miller Modigliani; MM Theorem; LSE; Euronext; FTSE; Euronext-100;

    Abstract : Background: Investors around the globe have debated, for more than 40 years, about whether the dividend yield has an influence on a stock’s price or not. There are different theories supporting both sides. These theories, however, often simplify the real world and therefore may not apply fully. READ MORE

  4. 4. Brexit's effect on UK ADRs

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Amanda Hellström; Felicia Nordin; [2019]
    Keywords : American Depositary Receipts; Brexit; Abnormal returns; Event study; Difference-in-differences;

    Abstract : On June 23rd 2016, the United Kingdom (UK) voted to leave the European Union, resulting in what is often referred to as Brexit. The day after the vote, the British pound (GBP) declined to the lowest level against the US dollar in 30 years and the FTSE 100 lost around GBP 85 billion. READ MORE

  5. 5. National Culture and Gender: Effects on Compensation Gap and Company Performance

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Giovania Kartika; Stefanie Kappel; [2019]
    Keywords : Executive Compensation Gap; Culture; Gender; Tournament Theory; Behavioural Theory; Business and Economics;

    Abstract : The purpose of this paper is to study the effect of gender and national culture on the compensation gap between CEOs and other members of top management and the company performance. The theoretical framework consists of previous research on gender differences, national culture and the effects of compensation gaps on company performance. READ MORE