Essays about: "copula model"

Showing result 21 - 25 of 40 essays containing the words copula model.

  1. 21. On Credit Spreads: An Autoregressve Model Approach

    University essay from Lunds universitet/Matematisk statistik

    Author : Anton Schölin; Filip Mörk Persson; [2017]
    Keywords : Mathematics and Statistics;

    Abstract : This thesis proposes an autoregressive credit spread model to make long term simulations of credit spreads and credit indices in the Investment grade and High yield bond segments. Several models are tested, and the final spread model produces simulations with statistics consistent with historical data, even though the model itself is relatively parsimonious. READ MORE

  3. 22. A Multi-Factor Stock Market Model with Regime-Switches, Student's T Margins, and Copula Dependencies

    University essay from Linköpings universitet/Produktionsekonomi

    Author : Adnan Berberovic; Alexander Eriksson; [2017]
    Keywords : finance; statistics; stock market; stocks; factor; factors; probability; probability distribution; students t distrbution; students t; copula; markov chain; hidden markov model; regime switching; stochastic programming; optimisation; optimization; multi factor model; arbitrage pricing theory; return; performance; back test; expectation maximisation; expectation maximization; multiple linear regression; stochastic process; primal-dual interior point; qq-plot; qq plot; excess return; market regimes; bear market; bull market; market index; index;

    Abstract : Investors constantly seek information that provides an edge over the market. One of the conventional methods is to find factors which can predict asset returns. In this study we improve the Fama and French Five-Factor model with Regime-Switches, student's t distributions and copula dependencies. READ MORE

  4. 23. Investment in Value: A Copula Approach

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Gustaf Soldan Patrikson; Victor Andrée; [2016]
    Keywords : factor investing; copula; tail dependence; diversification;

    Abstract : We evaluate how factor equity strategies are optimally combined, focusing on the role of the value factor (HML) against the background of a recent academic discussion about its potential redundancy, and the discovery of the investment (CMA) and profitability (RMW) factors. The analysis is centered around a conditional joint return distribution from a dynamic copula model, which allows for simulation with a time-varying and non-normal dependence structure. READ MORE

  5. 24. Credit Risk Management in Absence of Financial and Market Data

    University essay from KTH/Matematisk statistik

    Author : Sepehr Yousefi; [2016]
    Keywords : ;

    Abstract : Credit risk management is a significant fragment in financial institutions' security precautions against the downside of their investments. A major quandary within the subject of credit risk is the modeling of simultaneous defaults. READ MORE

  6. 25. Robust portfolio optimization with Expected Shortfall

    University essay from KTH/Matematisk statistik

    Author : Daniel Isaksson; [2016]
    Keywords : Robust Portfolio Optimization; Risk Management; Expected Shortfall; Elliptical Distributions; GARCH model; Normal Copula; Hybrid Generalized Pareto-Empirical-Generalized Pareto Marginals; Markowitz Mean-Variance Optimization; Contribution Expected Shortfall;

    Abstract : This thesis project studies robust portfolio optimization with Expected Short-fall applied to a reference portfolio consisting of Swedish linear assets with stocks and a bond index. Specifically, the classical robust optimization definition, focusing on uncertainties in parameters, is extended to also include uncertainties in log-return distribution. READ MORE