Essays about: "Valueat-Risk"

Found 3 essays containing the word Valueat-Risk.

  1. 1. How to Get Rich by Fund of Funds Investment - An Optimization Method for Decision Making

    University essay from Mälardalens universitet/Akademin för utbildning, kultur och kommunikation

    Author : Sabina Colakovic; [2022]
    Keywords : Modern Portfolio Theory; Markowitz Model; Mean-Variance Optimization; Valueat-Risk; Conditional Value-at-Risk; Geometric Mean Return; Efficient Frontier; Portfolio Optimization; Markowitz 2.0;

    Abstract : Optimal portfolios have historically been computed using standard deviation as a risk measure.However, extreme market events have become the rule rather than the exception. To capturetail risk, investors have started to look for alternative risk measures such as Value-at-Risk andConditional Value-at-Risk. READ MORE

  3. 2. Anomaly Detection for Portfolio Risk Management : An evaluation of econometric and machine learning based approaches to detecting anomalous behaviour in portfolio risk measures

    University essay from KTH/Nationalekonomi

    Author : Simon Westerlind; [2018]
    Keywords : Anomaly detection; Outlier Detection; Portfolio management; Risk management; Value-at-Risk; HTM; EWMA; ARIMA; LSTM; GARCH; Anomalidetektering; Avvikelsedetektering; Portföljhantering; Riskhantering; Valueat-Risk; HTM; EWMA; ARIMA; LSTM; GARCH;

    Abstract : Financial institutions manage numerous portfolios whose risk must be managed continuously, and the large amounts of data that has to be processed renders this a considerable effort. As such, a system that autonomously detects anomalies in the risk measures of financial portfolios, would be of great value. READ MORE

  4. 3. Cornish-Fisher Expansion and Value-at-Risk method in application to risk management of large portfolios

    University essay from Tillämpad matematik och fysik (MPE-lab)

    Author : Maria Sjöstrand; Özlem Aktaş; [2011]
    Keywords : Financial Mathematics; Value-at-Risk; Expected Shortfall; Cornish-Fisher Expansion; Gaussian distribution; Generalized Hyperbolic distribution;

    Abstract : One of the major problem faced by banks is how to manage the risk exposure in large portfolios. According to Basel II regulation banks has to measure the risk using Value-at-Risk with confidence level 99%. However, this regulation does not specify the way to calculate Valueat- Risk. READ MORE