Essays about: "Gustav Oddshammar"

Found 2 essays containing the words Gustav Oddshammar.

1. 1. Risk Management in Corporate Loan Portfolio - Default Correlation

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Sixten Fagerström; Gustav Oddshammar; [2011]
   Keywords : Dynamic conditional correlation; correlation; risk management; diversification; industry default rate; Business and Economics;

   Abstract : Purpose: The purpose of this paper is to estimate different industries’ default rate correlation over time. The intention is to observe if banks have any diversification opportunities in their corporate loan portfolio and to what extent this may disappear in stressful economic situations. READ MORE

3. 2. Portfolio Optimization -The Mean-Variance and CVaR approach

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Sixten Fagerström; Gustav Oddshammar; [2010]
   Keywords : Mean-Variance; CVaR; Portfolio Optimization; Volatility risk; Sharpe-ratio; Business and Economics;

   Abstract : The recent economic turmoil has increased volatility on the Swedish stock market and made investors more exposed to risk in an uncertain environment. This research will investigate if the quantitative portfolio optimization models Mean-Variance and CVaR can produce risk-adjusted returns for investors acting in the Swedish stock market. READ MORE