Essays about: "Return Distributions"

Showing result 1 - 5 of 49 essays containing the words Return Distributions.

  1. 1. Do Stocks Outperform Treasury Bills? Evidence From a Swedish Setting

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Anton Li; Ricky Yu; [2023]
    Keywords : Individual stocks; Treasury bills; Skewness; Buy-and-hold returns; Diversification;

    Abstract : Most Swedish stocks listed since 1983 post lifetime buy-and-hold returns that are less than one-month Swedish Treasury bills. In terms of risk-adjusted returns for the same time horizon, individual Swedish stocks vastly underperform value-weighted benchmarks when measured with a Sharpe ratio. READ MORE

  3. 2. Scenario Generation for Stress Testing Using Generative Adversarial Networks : Deep Learning Approach to Generate Extreme but Plausible Scenarios

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

    Author : Jonas Gustafsson; Conrad Jonsson; [2023]
    Keywords : Machine Learning; Generative Adversarial Network GAN ; Wasserstein Generative Adversarial Network WGAN ; Scenario Generation; Stress Testing; Central Counterparty Clearing;

    Abstract : Central Clearing Counterparties play a crucial role in financial markets, requiring robust risk management practices to ensure operational stability. A growing emphasis on risk analysis and stress testing from regulators has led to the need for sophisticated tools that can model extreme but plausible market scenarios. READ MORE

  4. 3. The influence of infiltration and rain intensity on an urban pluvial flood model : A case study of a catchment in Malmö municipality

    University essay from KTH/Hållbar utveckling, miljövetenskap och teknik

    Author : Emma van Heek; Ellen Persson; [2023]
    Keywords : Urban pluvial flooding; hydraulic model; type event; infiltration; runoff coefficient; Urban pluvial översvämning; hydraulisk modell; typ-regn; infiltration; avrinningskoefficient;

    Abstract : Urban pluvial floods have become more and more common in Europe. These floods have resulted in high costs for society, increasing the interest in conducting hydraulic flood models. This in order to prepare and minimise the consequences of these flood events. READ MORE

  5. 4. 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

  6. 5. Overreaction in Bitcoin before and during COVID-19

    University essay from Göteborgs universitet/Graduate School

    Author : Georgios Kirkinezos; Endri Skora; [2021-06-30]
    Keywords : Cryptocurrencies; Bitcoin; COVID-19; investors; Cryptocurrency Market; Returns; Quantile Autoregressive Model QAR ;

    Abstract : In recent years, Bitcoin has attracted a lot of interest from the media, academics and investors, but there is still skepticism and a lack of knowledge about how this cryptocurrency performed in the years leading up to and through the COVID-19 pandemic. The spread of COVID-19 in 2020, means that Bitcoin has been put to test under extreme financial conditions for the first time, and this thesis exploits this period to analyze how the COVID-19 crisis affected Bitcoin investors. READ MORE