Essays about: "Tim Herzig"

Found 1 essay containing the words Tim Herzig.

  1. 1. Conditional Value-at-Risk targeted portfolio optimisation

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Dennis Gill; Tim Herzig; [2017]
    Keywords : Conditional Value-at-Risk; Value-at-Risk; Coherent Risk Measures; Portfolio Optimisation; Monte Carlo Simulation;

    Abstract : New financial regulations have constantly forced market participants to adapt to changing rules. Recent regulatory iterations require them to focus on tail risk in portfolios of financial assets. One metric to quantify tail risk in portfolios is the Conditional Value-at-Risk (cVaR). READ MORE