Essays about: "stresstest"

Showing result 1 - 5 of 8 essays containing the word stresstest.

  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. Trends in the Capital Structure and Risk Assessment of Swedish Real Estate Companies : A Study on the Impact of the 2022-2023 Shift in Interest Rates

    University essay from KTH/Fastighetsföretagande och finansiella system

    Author : Karolina Landgärds; Hanna Lövgren; [2023]
    Keywords : Real estate; Capital structure; Financial risk; Interest rate risk; Fastigheter; Kapitalstruktur; Finansiell risk; Ränterisk;

    Abstract : This study aims to analyse the changes in the capital structure of Swedish real estate companies over the past five years, with a particular focus on the period 2022-2023, characterised by the policy interest rate increasing from zero to 3.5 percent. READ MORE

  4. 3. IRRBB in a Low Interest Rate Environment

    University essay from KTH/Matematisk statistik

    Author : Simon Berg; Victor Elfström; [2020]
    Keywords : IRRBB; Gap Risk; Basis Risk; Option risk; Interest rate; Yield Curve; Nelson Siegel Svensson; PCA; Cholesky Decomposition; EBA; EVE; NII; Risk; Interest rate risk; IRRBB; Gaprisk; Basrisk; Optionsrisk; Ränta; Avkastningskurva; Nelson Siegel Svensson; PCA; Cholesky Decomposition; EBA; EVE; NII; Risk; Ränterisk;

    Abstract : Financial institutions are exposed to several different types of risk. One of the risks that can have a significant impact is the interest rate risk in the bank book (IRRBB). In 2018, the European Banking Authority (EBA) released a regulation on IRRBB to ensure that institutions make adequate risk calculations. READ MORE

  5. 4. Mobile Application for Informative Communication During Sports Events

    University essay from Uppsala universitet/Institutionen för informationsteknologi

    Author : Teodor Carlsson; Linnea Gunnarsson; Sebastian Lindgren; Maria Lindqvist; [2018]
    Keywords : ;

    Abstract : The student sports event Studentiaden is a yearly occurring event arranged by Swedish University Sports Federation (Sveriges Akademiska Idrottsförbund) in collaboration with local student sports associations. During Studentiaden approximately 500 to 1000 students participate every year from all across Sweden. READ MORE

  6. 5. Practical analysis of the Precision Time Protocol under different types of system load

    University essay from KTH/Skolan för datavetenskap och kommunikation (CSC)

    Author : Emil Gedda; Anders Eriksson; [2017]
    Keywords : ptp; ieee1588; accuracy; precision; time synchronization; clocks; stability; system load; real time system;

    Abstract : The existence of distributed real-time systems calls for protocols for high accuracy time synchronization between devices. One such protocol, the Precision Time Protocol (PTP) reaches sub microsecond synchronization precision. PTP can be implemented both in hardware and software. READ MORE