Essays about: "Kristofer Eriksson"

Found 2 essays containing the words Kristofer Eriksson.

  1. 1. Risk Measures and Dependence Modeling in Financial Risk Management

    University essay from Institutionen för fysik

    Author : Kristofer Eriksson; [2014]
    Keywords : Dependence; Correlation; Copulas; Risk measures; Extreme value theory;

    Abstract : In financial risk management it is essential to be able to model dependence in markets and portfolios in an accurate and efficient way. A high positive dependence between assets in a portfolio can be devastating, especially in times of crises, since losses will most likely occur at the same time in all assets for such a portfolio. READ MORE

  3. 2. On Return Innovation Distribution in GARCH Volatility Modelling : Empirical evidence from the Stockholm Stock Exchange

    University essay from Nationalekonomi

    Author : Kristofer Eriksson; [2013]
    Keywords : ;

    Abstract : .... READ MORE