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Found 4 essays matching the above criteria.

  1. 1. A study incorporating skewness in Expected Shortfall Estimation

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Sreeja Madhavi Prajeesh; [2021]
    Keywords : Value at Risk; Expected shortfall; normal distribution; student t-distribution; skewed student t-distribution.; Business and Economics;

    Abstract : Expected Shortfall has become a prominent risk measure after the global financial crisis which hit the economy in 2007. This master thesis examines whether Expected Shortfall (ES) estimation gives better estimates when we incorporate skewness and the impact during turbulent versus tranquil period. READ MORE

  3. 2. Credit Risk Model for loans to SMEs in Sweden : Calculating Probability of Default for SMEs in Sweden based on historical data, to estimate a financial institution’s risk exposure

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Khalil Mustafa; Victor Persson; [2017]
    Keywords : Credit risk; probability of default; logistic regression;

    Abstract : As a consequence from the last financial crisis that began 2007 in USA, regulatory frameworks are continuously improved in order to limit the banks’ risk exposure. Two of the amendments are Basel III and IFRS 9. READ MORE

  4. 3. Changing of VC funds' investment pattern in times of financial turmoil. The case of Swedish VC funds in the 2005-2012 period.

    University essay from KTH/Samhällsekonomi

    Author : Ekaterina Diakova; [2013]
    Keywords : ;

    Abstract : The Venture Capital (VC) industry is of major importance for economic growth,since in some cases VC is the best option for start-ups and \young companies" tosecure funding to grow. Studying and understanding VCs behavior is importantnot only from an academic viewpoint, but also for rms seeking investment, thefunds investing in VC as an asset class, and VC funds themselves. READ MORE

  5. 4. "I´m buying U.S. shares" : Does the Broad Fear of the Financial Crisis 2007 - 2009 Lead to Undervaluation of Companies which have not Experienced Influences from the Financial Crisis?

    University essay from Handelshögskolan vid Umeå universitet

    Author : Andreas Blome; Martyn Chabros; [2009]
    Keywords : valuation of shares;

    Abstract : The starting point of this Master Thesis have been utterances of well known investors during the financial crisis which recommend to buy shares especially in the time of financial downturn because one could buy good performing companies at a low price. This arouse the question if broad fear of market participants during the financial crisis of 2007 to 2009 leads to undervaluation of companies which have not experienced influences of the financial crisis. READ MORE