Essays about: "riskmått"

Showing result 1 - 5 of 35 essays containing the word riskmått.

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. Stochastic Optimization of Asset Management Project Portfolios: A Risk-Informed Approach

   University essay from KTH/Matematik (Avd.)

   Author : Sebastian Persson; Niklas Hansson; [2023]
   Keywords : Nuclear asset management; Risk-informed asset management; Portfolio optimization; Project selection; Knapsack problem; Monte Carlo simulation; Conditional Value at Risk; Tillgångsförvaltning; Riskinformerad tillgångsförvaltning; Portföljoptimering; Projekturval; Kappsäcksproblem; Monte Carlo simulering; Conditional Value at Risk;

   Abstract : Asset management within the nuclear industry has become an increasingly relevant topic as safety requirements have tightened and energy security has become more important. Asset management ensures performance and reliability in a nuclear facility by balancing costs, opportunities, and risks to get the most out of assets. READ MORE

4. 3. Generating Extreme Value Distributions in Finance using Generative Adversarial Networks

   University essay from KTH/Matematik (Avd.)

   Author : William Nord-Nilsson; [2023]
   Keywords : Extreme Value Theory; Generative Adversarial Networks; Stress Testing; Machine Learning; Convolutional Neural Networks; evtGAN; Extreme Events; Extremvärdesteori; Generativa nätverk; Stresstestning; Maskininlärning; Djupt neuralt nätverk; evtGAN; Extrema händelser;

   Abstract : This thesis aims to develop a new model for stress-testing financial portfolios using Extreme Value Theory (EVT) and General Adversarial Networks (GANs). The current practice of risk management relies on mathematical or historical models, such as Value-at-Risk and expected shortfall. READ MORE

5. 4. Evaluation of portfolio optimization methods on decentralized assets and hybridized portfolios

   University essay from KTH/Matematik (Avd.)

   Author : Reza Salam Dalfi; Noel Mattar; [2022]
   Keywords : Traditional assets; DeFi; Cryptocurrencies; CVAR; FLPM; MSV; Portfolio; Optimization; Risk measurements; Traditionella tillgångar; DeFi; Cryptocurrencies; CVAR; FLPM; MSV; Portfölj optimering; Riskmått;

   Abstract : The market for decentralised financial instruments, more commonly known as cryptocurrencies, has gained momentum over the past recent years and the application areas are many. Modern portfolio theory has for years demonstrated its applicability to traditional assets, such as equities and other instruments, but to some extent omitted the application of mathematical portfolio theory with respect for cryptocurrencies. READ MORE

6. 5. Applying Peaks-Over-Threshold for Increasing the Speed of Convergence of a Monte Carlo Simulation

   University essay from KTH/Matematik (Avd.)

   Author : Eric Jakobsson; Thor Åhlgren; [2022]
   Keywords : Monte Carlo Simulation; Value-at-Risk; Expected Shortfall; Peaks- Over-Threshold; Life Insurances; Generalized Pareto Distribution; Extreme-Value-Theory; Monte Carlo Simulation; Value-at-Risk; Expected Shortfall; Peaks-Over-Threshold; Livförsäkringar; Generalized Pareto Fördelning; Extremvärdesteori;

   Abstract : This thesis investigates applying the semiparametric method Peaks-Over-Threshold on data generated from a Monte Carlo simulation when estimating the financial risk measures Value-at-Risk and Expected Shortfall. The goal is to achieve a faster convergence than a Monte Carlo simulation when assessing extreme events that symbolise the worst outcomes of a financial portfolio. READ MORE