Essays about: "Multi-factor model"

Showing result 1 - 5 of 37 essays containing the words Multi-factor model.

1. 1. Multi-factor approximation : An analysis and comparison ofMichael Pykhtin's paper “Multifactor adjustment”

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

   Author : Michael Zanetti; Philip Güzel; [2023]
   Keywords : Credit risk; Value at Risk; Expected Shortfall; Monte Carlo simulation; Advanced Internal Rantings-Based models; Kreditrisk; Value at Risk; Expected Shortfall; Monte Carlo simulation; Advanced Internal Rantings-Based-modeller;

   Abstract : The need to account for potential losses in rare events is of utmost importance for corporations operating in the financial sector. Common measurements for potential losses are Value at Risk and Expected Shortfall. These are measures of which the computation typically requires immense Monte Carlo simulations. READ MORE

3. 2. Privacy Preserving Biometric Multi-factor Authentication

   University essay from Lunds universitet/Institutionen för elektro- och informationsteknik

   Author : Emil Gedenryd; [2023]
   Keywords : Fully Homomorphic Encryption; Machine Learning; Biometric Authentication; Technology and Engineering;

   Abstract : This thesis investigates the viability of using Fully Homomorphic Encryption and Machine Learning to construct a privacy-preserving biometric multi-factor authentication system. The system is based on the architecture described as ”Model K - Store distributed, compare distributed” in ISO/IEC 24745:2022 and uses the Torus Fully Homomorphic Encryption scheme proposed by Chillotti et al. READ MORE

4. 3. Measurement of sectoral concentration with multiple factors

   University essay from Uppsala universitet/Statistiska institutionen

   Author : Victor Norrbin; [2022]
   Keywords : Concentration risk; Sector concentration; Credit risk; Time series analysis; Principal component analysis; Monte carlo simulation; Multi-factor model;

   Abstract : One of banks core businesses today is to, in various ways, lend capital to the market and in return receive interest rate. But giving out credit comes with great risk and, therefore, precautions need to be taken. It is impossible to forecast exactly which obligor (borrower) that will default on its exposure. READ MORE

5. 4. Performance of Small- and Large-cap stock portfolios- The importance of market anomalies across business cycles

   University essay from Göteborgs universitet/Graduate School

   Author : Erik Hulth; [2021-06-30]
   Keywords : Stock performance; Market anomalies; Asset pricing; Portfolio sorting techniques; Factor-portfolio sorting techniques; Value effect; Size effect; Momentum effect; Temporal influences; Business cycles; GDP-gap; Single-and Multi- Factor models; CAPM; Fama-French Three-Factor model; Carhart Four-Factor model; Risk-adjusted equity returns; Sharpe Ratio; Jensen´s alpha; NASDAQ OMX and NYSE;

   Abstract : This Master´s thesis investigated the importance of the market anomalies size (market capitalization), value (Book-to-Market ratio) and momentum (lagged short-term momentum) for equity returns of small- and large-cap composite stock portfolios. The study focused on two contrasting stock markets (NASDAQ OMX and NYSE) across domestic business cycles over the time-period 2006 to 2021. READ MORE

6. 5. An Empirical Study of Autoencoder Asset Pricing Models and the Impact of Arbitrage Constraints

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Benjamin von Essen; Haohang Wu; [2021]
   Keywords : Empirical asset pricing; Conditional asset pricing model; Machine learning; Arbitrage; Multi-factor model;

   Abstract : Following Gu et al. (2021), we implement a state-of-the-art machine learning asset pricing model, the conditional autoencoder, to capture the time-varying interactions between observable stock characteristics and factor loadings, while simultaneously extracting latent factors from stock returns. READ MORE