Essays about: "Faktormodeller"

Showing result 1 - 5 of 7 essays containing the word Faktormodeller.

  1. 1. Tidying up the factor zoo: Using machine learning to find sparse factor models that predict asset returns.

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Oliver Klingberg Malmer; Gustav Pettersson; [2020-07-01]
    Keywords : Asset pricing; Factor models; Machine learning; PCA; LASSO; Variable selection; Dimension reduction; Fama French Three Factor model; Fama French Five Factor model;

    Abstract : There exist over 300 firm characteristics that provide significant information about average asset return. John Cochrane refers to this as a “factor zoo” and challenges researchers to find the independent characteristics which can explain average return. READ MORE

  3. 2. Duration-Weighted Carbon Footprint Metrics and Carbon Risk Factor for Credit Portfolios

    University essay from KTH/Matematisk statistik

    Author : Erik Hendey Bröte; [2020]
    Keywords : Factor models; carbon footprint; risk factors; carbon risk; Faktormodeller; koldioxidsavtryck; riskfaktorer; kolrisk;

    Abstract : Current standard carbon footprint metrics attribute responsibility for a firm’s green house gas (GHG) emitting activities equally between an entity’s equity and debt. This study introduces a set of novel duration-weighted metrics which take into consideration the length of financing provided. READ MORE

  4. 3. Introduction of the Academic Factor Quality Minus Junk to a Commercial Factor Model and its Effect on the Explanatory Power. An OLS Regression on Stock Returns

    University essay from KTH/Matematisk statistik

    Author : Marit Annink; Rebecca Larsson; [2019]
    Keywords : Factor models; Risk models; Quality Minus Junk; Regression analysis; Bachelor thesis; Applied mathematics; Fjärde AP-Fonden; Explanatory Power.; Faktormodeller; Riskmodeller; Quality Minus Junk; Regressionsanalys; Kandidatexamensarbete; Tillämpad matematik; Fjärde AP-Fonden; Förklaringsgrad.;

    Abstract : The ability to predict stock returns is an ability many wish to possess, and in an accurate way as possible. For many years there has been an interest in the field of factor models explaining the returns, with the aim to increase the explanatory power. READ MORE

  5. 4. 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

  6. 5. Extending the explanatory power of factor pricing models using topic modeling

    University essay from KTH/Skolan för datavetenskap och kommunikation (CSC)

    Author : Nils Everling; [2017]
    Keywords : topic modeling; nlp; nmf; nonnegative matrix factorization; earnings call; transcript; risk; apt; factor model; gics; global industry classification standard; msci; industry; portfolio management; stock market; equities;

    Abstract : Factor models attribute stock returns to a linear combination of factors. A model with great explanatory power (R2) can be used to estimate the systematic risk of an investment. One of the most important factors is the industry which the company of the stock operates in. READ MORE