Essays about: "Shortfall Risk"

Showing result 16 - 20 of 82 essays containing the words Shortfall Risk.

1. 16. Risk Evaluation in a ML-Approximated Portfolio Environment

   University essay from KTH/Matematik (Avd.)

   Author : Filip Franzén; Karl Axel Nord; [2022]
   Keywords : Financial risk management; forecasting; machine learning; FMCG; Finansiell riskhantering; prognostisering; maskininlärning; konsumtionsvaror;

   Abstract : This thesis explores and evaluates the forecasting application of the machine learning method Gradient Boosting Decision Trees. This method is used to forecast the demand of the online grocery market with a 7-day time horizon. The thesis was conducted in collaboration with the online grocery company Mathem. READ MORE

3. 17. The Impact of Fundamental Firm Characteristics on the Tail Risk of Italian and Swedish Stocks

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Francesco Manzieri; [2022]
   Keywords : Tail Risk; Expected Shortfall; Corporate Governance; Gender Diversity; Fixed Effects;

   Abstract : These papers investigate whether differences in Tail Risk across Italian and Swedish listed companies can be explained by their fundamental characteristics, and compare the results between the two countries. To this end, data on financial performance, corporate governance, gender diversity and ownership were obtained from over 2,000 Italian and Swedish company filings to build two separate longitudinal panel datasets comprising the 152 largest Italian non-financial firms and the 108 largest Swedish non-financial firms over an almost 20 years period, and a Fixed Effects panel model was used to investigate the issue, using a measure of Expected Shortfall as proxy for Tail Risk. READ MORE

4. 18. Robo-Advisor portfolioperformance : Studying the effects of building an efficientportfolio from Value at Risk, ExpectedShortfall and Mean-Variance optimization

   University essay from Blekinge Tekniska Högskola/Institutionen för industriell ekonomi

   Author : Tobias Brännvall; Stella El Masry; [2022]
   Keywords : Fintech; Robo-advisory; Innovation;

   Abstract : In this research we conduct an in-depth examination of the several financial theories as well asevaluating different implementations of a hypothetical Robo-advisor and the correspondingperformance under market stress (COVID-19). Thus, we contribute a view on Robo-advisors’ benefitsand limitations, providing a foundation for better understanding its potential. READ MORE

5. 19. Fixed Income Securities as a Hedge against Equity Market Downside

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Timmie Bengtsson; [2022]
   Keywords : Fixed Income; Financial Markets; Hedge; Portfolio; Downside Risk; Value-at-Risk; Expected Shortfall; Extreme Value Theory; Kernel Density Estimation; Business and Economics;

   Abstract : Investors are constantly searching for ways to protect their wealth, ideally without losing out on long-term returns. To achieve this, some investors choose to diversify their equity portfolios with fixed income assets, believing they can protect their portfolios from drawdowns. READ MORE

6. 20. Risk Measurement and Performance Attribution for IRS Portfolios Using a Generalized Optimization Method for Term Structure Estimation

   University essay from Linköpings universitet/Produktionsekonomi

   Author : Fredrik Gerdin Börjesson; Christoffer Eduards; [2021]
   Keywords : Interest rate measurement; term structures; multiple yield curves; principal component analysis; systematic risk; risk factors; term structure simulation; Latin hypercube sampling with dependence; risk measurement; value-at-risk; expected shortfall; interest rate swap; performance attribution;

   Abstract : With the substantial size of the interest rate markets, the importance of accurate pricing, risk measurement and performance attribution can not be understated. However, the models used on the markets often have underlying issues with capturing the market's fundamental behavior. READ MORE