Essays about: "Riskbidrag"
Found 4 essays containing the word Riskbidrag.
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1. Evaluating Markov Chain Monte Carlo Methods for Estimating Systemic Risk Measures Using Vine Copulas
University essay from KTH/Matematisk statistikAbstract : This thesis attempts to evaluate the Markov Chain Monte Carlo (MCMC) methods Metropolis-Hastings (MH) and No-U-Turn Sampler (NUTS) to estimate systemic risk measures. The subject of analysis is an equity portfolio provided by a Nordic asset management firm, which is modelled using a vine copula. READ MORE
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2. 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
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3. The impact of macro-economic indicators on credit spreads
University essay from KTH/Matematisk statistikAbstract : A model of credit spreads variations, based on macroeconomic and market variables, has been developed and presented in this paper. Credit spreads of speculative and investment grade bonds have been investigated, leading us to a linear relationship between their quarterly variations. READ MORE
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4. Risk contribution and its application in asset and risk management for life insurance
University essay from KTH/Matematisk statistikAbstract : In risk management one important aspect is the allocation of total portfolio risk into its components. This can be done by measuring each components' risk contribution relative to the total risk, taking into account the covariance between components. READ MORE