Essays about: "copula model"

Showing result 16 - 20 of 40 essays containing the words copula model.

1. 16. Simulation-Based Portfolio Optimization with Coherent Distortion Risk Measures

   University essay from KTH/Matematisk statistik

   Author : Andreas Prastorfer; [2020]
   Keywords : Risk Management; Portfolio Optimization; Conditional Value-at-Risk; Coherent Distortion Riks Measures; Elliptical Distribution; GARCH model; Normal Copulas; Extreme Value Theory; Risk Contributions; Riskhantering; Portföljoptimering; Conditional Value-at-Risk; Koherenta distortionsriskmått; Elliptiska fördelningar; GARCH modeller; Normal-copula; Extremvärdes teori; Riskbidrag;

   Abstract : This master's thesis studies portfolio optimization using linear programming algorithms. The contribution of this thesis is an extension of the convex framework for portfolio optimization with Conditional Value-at-Risk, introduced by Rockafeller and Uryasev. READ MORE

3. 17. Quantitative Portfolio Construction Using Stochastic Programming

   University essay from KTH/Matematisk statistik

   Author : Aidin Ashant; Elisabeth Hakim; [2018]
   Keywords : Asset Allocation; Dynamic Portfolio Construction; Stochastic Programming; Scenario Generation; Multivariate GARCH; DCC-GARCH; Copula-GARCH; Transaction Costs; Mean-Absolute Deviation; Risk Parity; Mean-Variance; Tillgångsallokering; Dynamisk Portfölj Konstruktion; Stokastisk Programmering; Scenario Generation; Multivariat GARCH; DCC-GARCH; Copula- GARCH; Transaktionskostnader; Mean-Absolute Deviation; Risk Parity; Mean-Variance;

   Abstract : In this study within quantitative portfolio optimization, stochastic programming is investigated as an investment decision tool. This research takes the direction of scenario based Mean-Absolute Deviation and is compared with the traditional Mean-Variance model and widely used Risk Parity portfolio. READ MORE

4. 18. The Performance of Market Risk Models for Value at Risk and Expected Shortfall Backtesting : In the Light of the Fundamental Review of the Trading Book

   University essay from KTH/Matematisk statistik

   Author : Katja Dalne; [2017]
   Keywords : Risk Management; Financial Time Series; Value at Risk; Expected Shortfall; Monte Carlo Simulation; GARCH modeling; Copulas; Hybrid Distribution; Generalized Pareto Distribution; Extreme Value Theory; Backtesting; Liquidity Horizon; Basel regulation.;

   Abstract : The global financial crisis that took off in 2007 gave rise to several adjustments of the risk regulation for banks. An extensive adjustment, that is to be implemented in 2019, is the Fundamental Review of the Trading Book (FRTB). READ MORE

5. 19. The GARCH-copula model for gaugeing time conditional dependence in the risk management of electricity derivatives

   University essay from KTH/Matematisk statistik

   Author : Johan Viktorsson; [2017]
   Keywords : ;

   Abstract : In the risk management of electricity derivatives, time to delivery can be divided into a time grid, with the assumption that within each cell of the grid, volatility is more or less constant. This setup however does not take in to account dependence between the different cells in the time grid. READ MORE

6. 20. Copula selection and parameter estimation in market risk models

   University essay from KTH/Matematisk statistik

   Author : Carl Ljung; [2017]
   Keywords : ;

   Abstract : In this thesis, literature is reviewed for theory regarding elliptical copulas (Gaussian, Student’s t, and Grouped t) and methods for calibrating parametric copulas to sets of observations. Theory regarding model diagnostics is also summarized in the thesis. READ MORE