Sökning: "Value-at-Risk"

Visar resultat 1 - 5 av 23 avhandlingar innehållade ordet Value-at-Risk.

1. 1. Copula-based Portfolio Optimization

   Författare :Maziar Sahamkhadam; Andreas Stephan; Håkan Locking; Ranadeva Jayasekera; Linnéuniversitetet; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Copula; portfolio optimization; conditional Value-at-Risk; vine copulas; asymmetric tail dependence; Black-Litterman approach; expectile Value-at-Risk; multiobjective portfolios; Business administration; Företagsekonomi;

   Sammanfattning : This thesis studies and develops copula-based portfolio optimization. The overall purpose is to clarify the effects of copula modeling for portfolio allocation andsuggest novel approaches for copula-based optimization. The thesis is a compilation of five papers. LÄS MER

3. 2. Essays on Empirical applications of Real Estate Economics and Finance

   Författare :Mo Zheng; Han-Suck Song; Mats Wilhelmsson; Fredrik Armerin; Shahiduzzaman Quoreshi; KTH; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Real Estate Economics and Finance; Hedonic regression; Spatial econometrics; Residential market; Housing index; GARCH; Volatility forecasting; COVID-19; Value-at-Risk; Extreme Value Theory; Fastighetsekonomi och finans; Hedonisk regression; Spatial ekonometri; Bostadsmarknad; Bostadsindex; GARCH; Volatilitetsprognoser; COVID-19; Value-at-Risk; Extreme Value Theory; Fastigheter och byggande; Real Estate and Construction Management;

   Sammanfattning : This doctoral thesis is a collection of four essays that utilize cross-sectional and time-series econometric methods in real estate economics and finance. The first two essays apply econometric modeling to the residential market focusing on hedonic regression analysis, while the other two essays apply financial econometric modeling on an index of listed real estate stocks, and house price index indices. LÄS MER

4. 3. Essays on Risk in International Financial Markets

   Författare :Ola Larsson; Nationalekonomiska institutionen; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; volatility; Value at Risk; copulas; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Financial science; Finansiering;

   Sammanfattning : This thesis deals with techniques to model risk in financial markets and consists of four separate essays. The thesis begins with an introduction in chapter one, while chapter two to chapter five contains the four essays. The first essay examines the implication of using various risk measures for portfolio selection. LÄS MER

5. 4. Essays on systemic risk and financial market volatility

   Författare :Dominika Krygier; Nationalekonomiska institutionen; []
   Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; systemic risk; Volatility; Volatility forecasting; Bitcoin; implicit guarantees; Financial stability; Leverage; Value-at-Risk; CoVaR; networks; Centrality; interconnectedness; Financial crisis; Stock market; Banks; Financial Markets;

   Sammanfattning : This doctoral thesis consists of four independent research papers. All papers are empirical and cover the area of financial market risk, with a particular focus on systemic risk and volatility in financial markets. LÄS MER

7. 5. Topics in Workforce Management in a Contact Center Context

   Författare :Göran Svensson; Per Enqvist; Tolga Tezcan; KTH; []
   Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; queues; queuing networks; workforce management; optimization; conditional value-at-risk; Tillämpad matematik och beräkningsmatematik; Applied and Computational Mathematics;

   Sammanfattning : This thesis is written as a monograph covering topics in operations research and focusing on workforcemanagement in a contact center environment.This text is the result of a cooperative project between the Royal Institute of Technology (KTH) andTeleopti WFM. LÄS MER