Essays about: "historisk simulering"
Showing result 1 - 5 of 14 essays containing the words historisk simulering.
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1. Construction and Evaluation of Basket Options using the Binomial Option Pricing Model
University essay from KTH/Matematisk statistikAbstract : Hedge funds use a variety of different financial instruments in order to try to achieve over-average returns without taking on excessive risk - options being one of the most common of these instruments. Basket options is a type of option that is written on several underlying assets that can be used to hedge risky positions. READ MORE
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2. Accuracy of Risk Measures For Black Swan Events
University essay from KTH/Matematisk statistikAbstract : This project aims to analyze the risk measures Value-at-Risk and Conditional-Value-at-Risk for three stock portfolios with the purpose of evaluating each method's accuracy in modelling Black Swan events. This is achieved by utilizing a parametric approach in the form of a modified (C)VaR with a Cornish-Fisher expansion, a historic approach with a time series spanning ten years and a Markov Monte Carlo simulation modeled with a Brownian motion. READ MORE
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3. Value at Risk Estimation with Neural Networks: A Recurrent Mixture Density Approach
University essay from KTH/Matematik (Avd.)Abstract : In response to financial crises and opaque practices, governmental entities and financial regulatory bodies have implemented several pieces of legislature and directives meant to protect investors and increase transparency. Such regulations often impose strict liquidity requirements and robust estimations of the risk borne by a financial firm at any given time. READ MORE
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4. An Empirical Study of Modern Portfolio Optimization
University essay from KTH/Matematisk statistikAbstract : Mean variance optimization has shortcomings making the strategy far from optimal from an investor’s perspective. The purpose of the study is to conduct an empirical investigation as to how modern methods of portfolio optimization address the shortcomings associated with mean variance optimization. READ MORE
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5. Copula selection and parameter estimation in market risk models
University essay from KTH/Matematisk statistikAbstract : 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