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Showing result 1 - 5 of 11 essays matching the above criteria.
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1. Copula approach to fitting bivariate time series
University essay from Lunds universitet/Matematisk statistikAbstract : We apply the GARCH-copula method to estimate Value at Risk (VaR) for European and Stockholm stock indices. First, marginal distributions are estimated by the ARMA-GARCH model with normal, Student-t, and skewed t distributions. READ MORE
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2. A short bit on copulas and alternative versions of Spearmans rho
University essay from Lunds universitet/Matematisk statistikAbstract : This thesis aims to understand copula theory and its application in measuring dependence, particularly in the context of the paper "Multivariate conditional versions of Spearman’s rho and related measures of tail dependence" by Schmid and Schmidt. We clarify certain statements and formulas in Schmid and Schmidt's work, explore the potential of the conditional version of Spearman's rho, and demonstrate empirical versions of copulas and Spearman's rho using a bivariate normal distribution. READ MORE
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3. Hedging the Term Structure Risk of Carbon Allowance Derivatives : An Application of Stochastic Optimisation to EUA Market Making
University essay from Linköpings universitet/ProduktionsekonomiAbstract : The initiative by the EU to combat global warming through the introduction of a cap-and-trade system for greenhouse gas emissions in 2005, known as the EU Emissions Trading System (ETS), resulted in the inception of a new financial market. The right to emit one tonne of CO2-equivalents, as well as derivatives on this right, have become commodities, traded both through exchanges and over the counter. READ MORE
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4. Considering Tail Events in Hedge Fund Portfolio Optimization
University essay from Linköpings universitet/ProduktionsekonomiAbstract : The Fourth Swedish National Pension Fund (AP4), as well as many other large investors, has noted deficiencies the Mean-Variance framework for portfolio management of asset with non-normal characteristics. The main problem apparent in the Mean-Variance framework, when investing in alternative assets such as hedge funds, is the lacking systematic control of the balance between the measurements of risk due normal variation and tail-risk. READ MORE
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5. Simulation-Based Portfolio Optimization with Coherent Distortion Risk Measures
University essay from KTH/Matematisk statistikAbstract : 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
