Essays about: "Risk factor weights"
Showing result 1 - 5 of 9 essays containing the words Risk factor weights.
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1. Unveiling the Impact of ESG Ratings on Risk-Adjusted Returns : Evidence from European Companies
University essay from Uppsala universitet/Företagsekonomiska institutionenAbstract : This study uses a sample of 600 companies from Europe to investigate the risk-adjusted returns of four portfolios with high and low ESG ratings between 2011 and 2021. Four asset pricing models and additional measures for risk and return are tested on different portfolio weights. READ MORE
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2. Improving term structure measurements by incorporating steps in a multiple yield curve framework
University essay from Linköpings universitet/ProduktionsekonomiAbstract : By issuing interest rate derivative contracts, market makers such as large banks are exposed to undesired risk. There are several methods for banks to hedge themselves against this type of risk; one such method is the stochastic programming model developed by Blomvall and Hagenbjörk (2022). READ MORE
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3. On the Value at Risk Forecasting of the Market Risk for Large Portfolios based on Dynamic Factor Models with Multivariate GARCH Specifications
University essay from Uppsala universitet/Statistiska institutionenAbstract : Market risk is the risk of capital loss due to unexpected changes in market prices. One risk measure used to estimate market risk is Value at Risk (VaR). The common historical simulation methodology of VaR forecasting usually does not capture the time-varying volatilities associated with financial data. READ MORE
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4. A Case Study to develop and test GIS/SDSS methods to assess the production capacity of a Cocoa Site in Trinidad and Tobago
University essay from Lunds universitet/Institutionen för naturgeografi och ekosystemvetenskapAbstract : Pritam Kumarsingh A Case Study to develop and test GIS/SDSS methods to assess the production capacity of a Cocoa Site in Trinidad and Tobago Trinidad and Tobago has achieved world-wide affirmation for its unique fine and flavour cocoa (Theobroma cacao). This classification of cocoa commands price premiums on the global market. READ MORE
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5. A Model to Assess Supply Risk for Antibiotics in Swedish Context : Analysis of Supply Structure of 39 Selected Antibiotics
University essay from Uppsala universitet/Institutionen för samhällsbyggnad och industriell teknikAbstract : The gap between demand and supply for antibiotics in the healthcare sector has seen a steady growth over the past decades, further increasing the risk of antibiotic resistance and unavailability in the Swedish healthcare sector and market. The thesis is part of the work of the multisectoral platform, PLATINEA, which is working towards better availability of antibiotics. READ MORE