Essays about: "Risk model evaluation"

Showing result 1 - 5 of 166 essays containing the words Risk model evaluation.

  1. 1. Distributional Dynamics of Fama-French Factors in European Markets

    University essay from KTH/Matematisk statistik

    Author : Wilmer Löfgren; [2020]
    Keywords : Fama-French factors; NGARCH; Copula; Value-at-Risk; Risk model evaluation; Fama-French-faktorer; NGARCH; Copula; Value-at-Risk; Utvärdering av riskmodeller;

    Abstract : The three-factor model of Fama and French has proved to be a seminal contribution to asset pricing theory, and was recently extended to include two more factors, yielding the Fama-French five-factor model. Other proposed augmentations of the three-factor model includes the introduction of a momentum factor by Carthart. READ MORE

  2. 2. Modeling and Evaluation of a Finite Element Cervical Spinal Cord for Injury Assessment

    University essay from KTH/Skolan för kemi, bioteknologi och hälsa (CBH)

    Author : Nicole Valle Olivera; [2020]
    Keywords : Biomechanics; Neuronics; Spinal Cord; LS-Dyna;

    Abstract : Motor vehicles collisions and falls have gradually increase the risk for spinal cord injuries. An increased knowledge of the spinal behavior and its injury mechanisms can be used as preventive strategies. READ MORE

  3. 3. Saltwater Intrusion in Fractured Crystalline Bedrock Aquifer. - A Case Study on Koster Islands, SW Sweden

    University essay from Göteborgs universitet/Institutionen för geovetenskaper

    Author : Sibhat Afewerki; [2019-10-30]
    Keywords : saltwater intrusion; fractured bedrock aquifers; DRASTIC; vulnerability mapping; Koster Islands; slatvattenintrång; Akvifer i uppsprucken berggrund; sårbarhetskartläggning; Kosteröarna;

    Abstract : Saltwater intrusion (SWI) is one of the significant threats in many coastal areas, mainly drivenby anthropogenic hazards (over-pumping) and climate change (sea level rise). So far, there havebeen extensive research and techniques to understand and minimize SWI. READ MORE

  4. 4. Modeling the evolution of market uncertainty- Hedge Fund returns and Volatility of Aggregate Volatility within a dynamic perspective

    University essay from Göteborgs universitet/Graduate School

    Author : Annalisa Caros; [2019-07-02]
    Keywords : ;

    Abstract : MSc in Finance.... READ MORE

  5. 5. Performance Evaluation of Small- and Large-cap stocks - The importance of size effects on the Swedish equity market

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Andreas Carlsson; Erik Hulth; [2019-02-20]
    Keywords : Performance Evaluation; Asset pricing; Size Effect; Sharpe Ratio; Treynor ratio; Jensen´s alpha; Risk-Adjusted Returns; Fama-French Three-Factor Model; Carhart Four-Factor Model; Multi-factor models; Single-factor model;

    Abstract : This Bachelor´s thesis investigated the performance of small-cap stocks and large-cap stocks on the Swedish equity market (NASDAQ OMX) over the years 2011 to 2016. A number of studies focused on asset pricing have during the last decades indicated that the original Capital Asset Pricing Model (CAPM) is misspecified and has limited power to explain cross-sectional and temporal variations in expected equity returns. READ MORE