Essays about: "Normal Copulas"

Showing result 1 - 5 of 7 essays containing the words Normal Copulas.

  1. 1. Simulation-Based Portfolio Optimization with Coherent Distortion Risk Measures

    University essay from KTH/Matematisk statistik

    Author : Andreas Prastorfer; [2020]
    Keywords : Risk Management; Portfolio Optimization; Conditional Value-at-Risk; Coherent Distortion Riks Measures; Elliptical Distribution; GARCH model; Normal Copulas; Extreme Value Theory; Risk Contributions; Riskhantering; Portföljoptimering; Conditional Value-at-Risk; Koherenta distortionsriskmått; Elliptiska fördelningar; GARCH modeller; Normal-copula; Extremvärdes teori; Riskbidrag;

    Abstract : This master's thesis studies portfolio optimization using linear programming algorithms. The contribution of this thesis is an extension of the convex framework for portfolio optimization with Conditional Value-at-Risk, introduced by Rockafeller and Uryasev. READ MORE

  2. 2. The Performance of Market Risk Models for Value at Risk and Expected Shortfall Backtesting : In the Light of the Fundamental Review of the Trading Book

    University essay from KTH/Matematisk statistik

    Author : Katja Dalne; [2017]
    Keywords : Risk Management; Financial Time Series; Value at Risk; Expected Shortfall; Monte Carlo Simulation; GARCH modeling; Copulas; Hybrid Distribution; Generalized Pareto Distribution; Extreme Value Theory; Backtesting; Liquidity Horizon; Basel regulation.;

    Abstract : The global financial crisis that took off in 2007 gave rise to several adjustments of the risk regulation for banks. An extensive adjustment, that is to be implemented in 2019, is the Fundamental Review of the Trading Book (FRTB). READ MORE

  3. 3. Prediction of Volatility and Value at Risk with Copulas for Portfolios of Commodities

    University essay from Lunds universitet/Matematisk statistik

    Author : Felix Mörée; [2016]
    Keywords : Commodities; Copula; GARCH; VaR; Mathematics and Statistics;

    Abstract : Value at Risk (VaR) is a popular measurement for valuing the risk exposure. Correct estimates of VaR are essential in order to properly be able to monitor the risk. This thesis examines a copula approach for estimating VaR for portfolios of commodities. The predictions are made from a semi- parametric model with Monte Carlo methods. READ MORE

  4. 4. Imputation of Missing Data with Application to Commodity Futures

    University essay from KTH/Matematisk statistik

    Author : Simon Östlund; [2016]
    Keywords : Missing Data; Bayesian Statistics; Expectation Conditional Maximization ECM ; Conditional Distribution; Robust Regression; MCMC; Copulas.; Saknad Data; Bayesiansk Statistik; Expectation Conditional Maximization ECM ; Betingad Sannolikhet; Robust Regression; MCMC; Copulas.;

    Abstract : In recent years additional requirements have been imposed on financial institutions, including Central Counterparty clearing houses (CCPs), as an attempt to assess quantitative measures of their exposure to different types of risk. One of these requirements results in a need to perform stress tests to check the resilience in case of a stressed market/crisis. READ MORE

  5. 5. Analysis of Copula Opinion Pooling with Applications to Quantitative Portfolio Management

    University essay from KTH/Matematisk statistik

    Author : Rickard Bredeby; [2015]
    Keywords : Copula opinion pooling; copulas; t copula; views; tail dependence; maximum likelihood; VaR; ES; mean-ES trade-off; portfolio theory; portfolio management; allocation; kernel estimation; correlation.;

    Abstract : In 2005 Attilio Meucci presented his article Beyond Black-Litterman: Views on Non-Normal Markets which introduces the copula opinion pooling approach using generic non-normal market assumptions. Copulas and opinion pooling are used to express views on the market which provides a posterior market distribution that smoothly blends an arbitrarily distributed market prior distribution with arbitrarily chosen views. READ MORE