Essays about: "factor model copula"

Showing result 1 - 5 of 8 essays containing the words factor model copula.

1. 1. Improving term structure measurements by incorporating steps in a multiple yield curve framework

   University essay from Linköpings universitet/Produktionsekonomi

   Author : Gustav Villwock; Clara Rydholm; [2022]
   Keywords : Finance; Interest rates; Term structure measurement; Monte Carlo; Financial mathematics; Yield curve; Policy rates; Multiple yield curve framework; Stochastic programming; Risk factor modeling; Hedging; Performance attribution; Principle component analysis; GARCH; Maximum likelihood estimation; Copula;

   Abstract : By issuing interest rate derivative contracts, market makers such as large banks are exposed to undesired risk. There are several methods for banks to hedge themselves against this type of risk; one such method is the stochastic programming model developed by Blomvall and Hagenbjörk (2022). READ MORE

3. 2. Estimation of severe crash frequency using two surrogates

   University essay from Lunds universitet/Matematisk statistik

   Author : Zhankun Chen; [2022]
   Keywords : Multivariate Extreme Value distributions; Copula; Extreme Value Theory; Crash frequency; Surrogate Meausre of Safety; Road safety; Mathematics and Statistics;

   Abstract : This thesis is concerned with the estimation of crash frequency based on the bivariate modeling of surrogate measures of safety (SMoS), which serve as indicators for traffic risk. Using the SMoS, any traffic conflict between two road users can be described by their proximity together with their hypothetical consequence. READ MORE

4. 3. Distributional Dynamics of Fama-French Factors in European Markets

   University essay from KTH/Matematisk statistik

   Author : Wilmer Löfgren; [2020]
   Keywords : Fama-French factors; NGARCH; Copula; Value-at-Risk; Risk model evaluation; Fama-French-faktorer; NGARCH; Copula; Value-at-Risk; Utvärdering av riskmodeller;

   Abstract : The three-factor model of Fama and French has proved to be a seminal contribution to asset pricing theory, and was recently extended to include two more factors, yielding the Fama-French five-factor model. Other proposed augmentations of the three-factor model includes the introduction of a momentum factor by Carthart. READ MORE

5. 4. 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

6. 5. 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