Essays about: "copulas"

Showing result 1 - 5 of 44 essays containing the word copulas.

  1. 1. Risk Management and Sustainability - A Study of Risk and Return in Portfolios With Different Levels of Sustainability

    University essay from KTH/Matematik (Avd.)

    Author : Magnus Borg; Lucas Ternqvist; [2023]
    Keywords : ESG; Value-at-Risk VaR ; Expected Shortfall ES ; Risk Management; Financial Risk; Financial Mathematics; Sustainability; Portfolio Management; Capital Asset Pricing Model CAPM ; Hållbarhet; Value-at-Risk VaR ; Expected Shortfall ES ; Riskhantering; Finansiell Risk; Finansiell Matematik; Portföljkonstruktion;

    Abstract : This thesis examines the risk profile of Electronically Traded Funds and the dependence of the ESG rating on risk. 527 ETFs with exposure globally were analyzed. Risk measures considered were Value-at-Risk and Expected Shortfall, while some other metrics of risk was used, such as the volatility, maximum drawdown, tail dependece, and copulas. READ MORE

  3. 2. Copula modeling for Portfolio Return Analysis

    University essay from KTH/Matematik (Avd.)

    Author : Markus Gustafsson; [2023]
    Keywords : applied mathematics; copulas; tillämpad matematik; copulas;

    Abstract : In this thesis, we investigate the advantages of using high-dimensional copula modeling to understand the riskiness of portfolio investments and to more realistically estimate future portfolio values. Our approach involves benchmarking some pre-determined fitted copulas to the 0. READ MORE

  4. 3. Copula approach to fitting bivariate time series

    University essay from Lunds universitet/Matematisk statistik

    Author : Jun Wang; [2023]
    Keywords : VaR; Copula; ARMA-GARCH; Extreme Value Theory; GPD; Hill estimator; Mathematics and Statistics;

    Abstract : We apply the GARCH-copula method to estimate Value at Risk (VaR) for European and Stockholm stock indices. First, marginal distributions are estimated by the ARMA-GARCH model with normal, Student-t, and skewed t distributions. READ MORE

  5. 4. A short bit on copulas and alternative versions of Spearmans rho

    University essay from Lunds universitet/Matematisk statistik

    Author : Filip Carlsson; [2023]
    Keywords : Mathematics and Statistics;

    Abstract : This thesis aims to understand copula theory and its application in measuring dependence, particularly in the context of the paper "Multivariate conditional versions of Spearman’s rho and related measures of tail dependence" by Schmid and Schmidt. We clarify certain statements and formulas in Schmid and Schmidt's work, explore the potential of the conditional version of Spearman's rho, and demonstrate empirical versions of copulas and Spearman's rho using a bivariate normal distribution. READ MORE

  6. 5. Risk Assessment of International Mixed Asset Portfolio with Vine Copulas

    University essay from Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakulteten

    Author : Axel Nilsson; [2022]
    Keywords : Vine Copulas; Extreme Value Theory; Financial Risk Management; Vine Copulas; Extremvärdesteori; Finansiell riskhantering;

    Abstract : This thesis gives an example of assessing the risk of a financial portfolio with international assets, where the assets may be of different classes, by the use of Monte Carlo simulation and Extreme Value Theory. The simulation uses univariate modelling, models of the assets’ returns as stochastic processes, as well as vine copulas to create dependency between the variables. READ MORE