Essays about: "Riskmodeller"
Found 5 essays containing the word Riskmodeller.
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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. Developing an Advanced Internal Ratings-Based Model by Applying Machine Learning
University essay from KTH/Matematisk statistikAbstract : Since the regulatory framework Basel II was implemented in 2007, banks have been allowed to develop internal risk models for quantifying the capital requirement. By using data on retail non-performing loans from Hoist Finance, the thesis assesses the Advanced Internal Ratings-Based approach. READ MORE
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3. Distributional Dynamics of Fama-French Factors in European Markets
University essay from KTH/Matematisk statistikAbstract : 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
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4. Introduction of the Academic Factor Quality Minus Junk to a Commercial Factor Model and its Effect on the Explanatory Power. An OLS Regression on Stock Returns
University essay from KTH/Matematisk statistikAbstract : The ability to predict stock returns is an ability many wish to possess, and in an accurate way as possible. For many years there has been an interest in the field of factor models explaining the returns, with the aim to increase the explanatory power. READ MORE
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5. Energy poverty in the Dublin region : modelling geographies of risk
University essay from Lunds universitet/Institutionen för naturgeografi och ekosystemvetenskapAbstract : Energy poverty (EP) is, in the scholarly literature, defined as a household’s inability to obtain a socially and materially acceptable level of energy services in the home. This is a widespread issue affecting an estimated 50 to 125 million people in Europe. READ MORE