Essays about: "Hannes Sternbeck Fryxell"

Found 1 essay containing the words Hannes Sternbeck Fryxell.

  1. 1. Evaluating market risk in a portfolio with heavy-tailed risk factors using Monte Carlo Methods

    University essay from Lunds universitet/Matematisk statistik

    Author : Alexander Ivarsson; Hannes Sternbeck Fryxell; [2013]
    Keywords : Mathematics and Statistics;

    Abstract : In this master thesis we study and implement a model for market risk in a portfolio consisting of both stock and bond indices. It is based on an article by Glasserman, Heidelberger and Shahabuddin from year 2002. The model uses the assumption that the joint distribution of the losses follows a multivariate t-distribution. READ MORE