Sökning: "asymmetric risk"

Visar resultat 1 - 5 av 49 avhandlingar innehållade orden asymmetric risk.

  1. 1. Empirical Studies on Economic and Financial Spillovers : Asymmetric Risk and Dependence Modeling

    Författare :Axel Hedström; Gazi Salah Uddin; Ali M. Ahmed; Ugur Soytas; Linköpings universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Spillovers; systemic risk; risk modeling; risk dependence; asymmetric risk; energy finance; Spillovers; systemisk risk; riskmodellering; risk påverkan; asymmetrisk risk; energifinans;

    Sammanfattning : Financial assets are volatile, and volatility becomes more intense in terms of size and rate of recurrence when markets are uncertain and growing rapidly. The fact that the recurrence rate increased during crisis periods, such as the IT bubble in the early 2000 and the global financial crisis that started in 2007, is a key finding in the literature. LÄS MER

  3. 2. On Risk Prediction

    Författare :Carl Lönnbark; Kurt Brännäs; Stefan Mittnik; Umeå universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Finance; Time series; GARCH; Estimation error; Asymmetry; Supply and demand; Econometrics; Ekonometri; ekonometri; Econometrics;

    Sammanfattning : This thesis comprises four papers concerning risk prediction. Paper [I] suggests a nonlinear and multivariate time series model framework that enables the study of simultaneity in returns and in volatilities, as well as asymmetric effects arising from shocks. LÄS MER

  4. 3. Financial Volatility and Time-Varying Risk Premia

    Författare :Peter Hördahl; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Monte Carlo methods; Term structure of interest rates; Asymmetric variance; Time-varying risk premia; Volatility forecasting; CAPM; Conditional asset pricing models; Stochastic volatility; Volatility modeling; GARCH; Bond option pricing; Financial science; Finansiering;

    Sammanfattning : This thesis consists of four empirical essays, all dealing with return volatility of financial assets and/or time-varying risk premia. In the first essay, Changing Risk Premia: Evidence from a Small Open Economy, the relation between risk and return is investigated for Swedish stocks. LÄS MER

  5. 4. Moral Hazard and Insurance: Optimality, Risk and Preferences

    Författare :Kristian Sundström; Nationalekonomiska institutionen; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; asymmetric information; second best solution; first best solution; Insurance; Moral Hazard;

    Sammanfattning : The thesis consists of an introductory chapter, followed by three chapters which all deal with theoretical issues related to moral hazard and insurance. In Chapter 2 we assume symmetric and perfect information. LÄS MER

  7. 5. A study of asymmetric information problems in vehicle insurance

    Författare :Sherzod Yarmukhamedov; Jan-Eric Nilsson; Lars Hultkrantz; Eric Verhoef; Örebro universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; asymmetric information; insurance; moral hazard; traffic safety; Economics; Nationalekonomi;

    Sammanfattning : Insurance is an indispensable part of modern welfare systems. It provides financial protection against unexpected losses and facilitates security and efficiency. LÄS MER