Essays about: "Rickard Gunnvald"

Found 2 essays containing the words Rickard Gunnvald.

  1. 1. Estimating Probability of Default Using Rating Migrations in Discrete and Continuous Time

    University essay from KTH/Matematisk statistik

    Author : Rickard Gunnvald; [2014]
    Keywords : ;

    Abstract : During the financial crisis that began in 2008, even whole countries and very large companies defaulted or were on the verge of defaulting. The turmoil made risk managers and regulators more vigilant in scrutinising their risk assessment. READ MORE

  3. 2. An Equal Risk Contribution Portfolio Approach Using VIX Futures

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Rickard Gunnvald; Andreas Lagerqvist; [2013]
    Keywords : Equal risk contribution; VIX Futures; Asset allocation;

    Abstract : As an effect of the unusually volatile financial markets the past few years, new asset allocation strategies such as the equal risk contribution (ERC) approach has been developed. This report examines the effect on portfolio performance of adding VIX Futures contracts to an ERC portfolio consisting of positions in long-term government bonds and S\&P 500 equities. READ MORE