Essays about: "Macroeconomic Risk"

Showing result 26 - 30 of 103 essays containing the words Macroeconomic Risk.

1. 26. Estimation of Loss Given Default Distributions for Non-Performing Loans Using Zero-and-One Inflated Beta Regression Type Models

   University essay from KTH/Matematisk statistik

   Author : Carolina Ljung; Maria Svedberg; [2020]
   Keywords : Loss Given Default; Non-Performing Loans; Internal Ratings Based Approach; Basel Accords; Zero-and-One Inflated Beta Regression; Bayesian Inference; Förlust vid fallissemang; Icke-presterande lån; Intern riskklassificeringsmetod; Basel; Utvidgad betaregression; Bayesiansk inferens;

   Abstract : This thesis investigates three different techniques for estimating loss given default of non-performing consumer loans. This is a contribution to a credit risk evaluation model compliant with the regulations stipulated by the Basel Accords, regulating the capital requirements of European financial institutions. READ MORE

3. 27. Time to purchase your ownhouse : The resistance of housing investments againstmacroeconomic shocks

   University essay from KTH/Fastigheter och byggande

   Author : Quinglin Ouyang; [2020]
   Keywords : House price index; Sharpe ratio; macroeconomic shocks; vector auto-regression; bostadsprisindex; Sharpe ratio; makroekonomiska chocker; vektor autoregressiva-modeller;

   Abstract : Housing is both a durable good and an investment vehicle, which makes it importantin people’s daily life aswell as for a nation’s economy. This thesis innovatively applies the Sharpe ratio on evaluating the performance of the US residentialhousing market within the time period from 2005:Q1 to 2019:Q3, andinvestigates how this performance would react upon macroeconomic shocks,including sudden changes in GDP growth rate and personal income growthrate, by establishing a vector auto-regression model with the lag order of four. READ MORE

4. 28. Active Versus Passive Investing : A Comparative Analysis

   University essay from Jönköping University/IHH, Företagsekonomi

   Author : Jonathan Molander; Lennart van Loo; [2020]
   Keywords : Active investing; Passive investing; Market timing ability; investor alpha; Fama French 3 factor;

   Abstract : The increasing popularity of passive investment strategies causes the long-term feasibility of active investing to be questioned more often. Therefore, this research aimed to uncover whether active investors' influence on fund performance is positive and significant enough to offset the cost involved, thereby providing reasoning for active rather than passive investing. READ MORE

5. 29. Predicting and Assessing Economic Crises

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Maria Engelson; [2020]
   Keywords : Financial Crisis Forecasting; Early Warning Models; Macroeconomic Imbalances; COVID-19; Stock Market Crash;

   Abstract : This document constitutes of two theses to fulfil Stockholm School of Economics requirements for the Double Degree Programme in Finance between Stockholm School of Economics (Home School) and Universita` Commerciale Luigi Bocconi (Host School). The first thesis was written, submitted, and defended at Universita` Commerciale Luigi Bocconi in July 2020. READ MORE

6. 30. “Smart Money” in a bear market? : Swedish active equity mutual funds’ ability to add value towards investors in the bear market Q1 2020

   University essay from Stockholms universitet/Företagsekonomiska institutionen

   Author : Mattias Löfvenberg; Simon Pålsson Högström; [2020]
   Keywords : ;

   Abstract : It is well-established by an abundance of previous empirical work presenting evidence that the average active equity mutual fund manager underperforms their benchmark net of expenses persistently over longer time-horizons. Active fund managers have the possibility to invest smart by forecasting the market and change their exposure to the market in regard of macroeconomic events to protect their portfolios violating the theory of an efficient market. READ MORE