Essays about: "Shortfall Risk"
Showing result 1 - 5 of 82 essays containing the words Shortfall Risk.
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1. Robust Portfolio Optimization with Correlation Penalties
University essay from KTH/Matematisk statistikAbstract : Robust portfolio optimization models attempt to address the standard optimization method's high sensitivity to noise in the parameter estimates, by taking an investor's uncertainty about the estimates into account when finding an optimal portfolio. In this thesis, we study robust variations of an extension of the mean-variance problem, where an additional term penalizing the portfolio's correlation with an exogenous return sequence is included in the objective. READ MORE
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2. Risk Management and Sustainability - A Study of Risk and Return in Portfolios With Different Levels of Sustainability
University essay from KTH/Matematik (Avd.)Abstract : This thesis examines the risk profile of Electronically Traded Funds and the dependence of the ESG rating on risk. 527 ETFs with exposure globally were analyzed. Risk measures considered were Value-at-Risk and Expected Shortfall, while some other metrics of risk was used, such as the volatility, maximum drawdown, tail dependece, and copulas. READ MORE
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3. Portfolio Risk Modelling in Venture Debt
University essay from KTH/Matematisk statistikAbstract : This thesis project is an experimental study on how to approach quantitative portfolio credit risk modelling in Venture Debt portfolios. Facing a lack of applicable default data from ArK and publicly available sets, as well as seeking to capture companies that fail to service debt obligations before defaulting per se, we present an approach to risk modeling based on trends in revenue. READ MORE
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4. Multi-factor approximation : An analysis and comparison ofMichael Pykhtin's paper “Multifactor adjustment”
University essay from Umeå universitet/Institutionen för matematik och matematisk statistikAbstract : The need to account for potential losses in rare events is of utmost importance for corporations operating in the financial sector. Common measurements for potential losses are Value at Risk and Expected Shortfall. These are measures of which the computation typically requires immense Monte Carlo simulations. READ MORE
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5. Forecasting Value-at-Risk and Expected Shortfall: A comparison of non- and parametric methods for crude oil amidst extreme volatility
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : Practitioners primarily utilise nonparametric methods when estimating Value-at- Risk (VaR) and Expected Shortfall (ES) for computing capital requirements. However, various researchers assert that there are issues with those estimates, particularly amidst periods of market turmoil. READ MORE