Dissertations / Theses on the topic 'Conditional risk measure'
Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles
Consult the top 26 dissertations / theses for your research on the topic 'Conditional risk measure.'
Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.
You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.
Browse dissertations / theses on a wide variety of disciplines and organise your bibliography correctly.
DOLDI, ALESSANDRO. "EQUILIBRIUM, SYSTEMIC RISK MEASURES AND OPTIMAL TRANSPORT: A CONVEX DUALITY APPROACH." Doctoral thesis, Università degli Studi di Milano, 2021. http://hdl.handle.net/2434/812668.
Full textKarniychuk, Maryna. "Comparing Approximations for Risk Measures Related to Sums of Correlated Lognormal Random Variables." Master's thesis, Universitätsbibliothek Chemnitz, 2007. http://nbn-resolving.de/urn:nbn:de:swb:ch1-200700024.
Full textDrapeau, Samuel. "Risk preferences and their robust representation." Doctoral thesis, Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, 2010. http://dx.doi.org/10.18452/16135.
Full textThe goal of this thesis is the conceptual study of risk and its quantification via robust representations. We concentrate in a first part on context invariant features related to this notion: diversification and monotonicity. We introduce and study the general properties of three key concepts, risk order, risk measure and risk acceptance family and their one-to-one relations. Our main result is a uniquely characterized dual robust representation of lower semicontinuous risk orders on topological vector space. We also provide automatic continuity and robust representation results on specific convex sets. This approach allows multiple interpretation of risk depending on the setting: model risk in the case of random variables, distributional risk in the case of lotteries, discounting risk in the case of consumption streams... Various explicit computations in those different settings are then treated (economic index of riskiness, certainty equivalent, VaR on lotteries, variational preferences...). In the second part, we consider preferences which might require additional information in order to be expressed. We provide a mathematical framework for this idea in terms of preorders, called conditional preference orders, which are locally compatible with the available information. This allows us to construct conditional numerical representations of conditional preferences. We obtain a conditional version of the von Neumann and Morgenstern representation for measurable stochastic kernels and extend then to a conditional version of the variational preferences. We finally clarify the interplay between model risk and distributional risk on the axiomatic level.
Eksi, Zehra. "Comparative Study Of Risk Measures." Master's thesis, METU, 2005. http://etd.lib.metu.edu.tr/upload/12606501/index.pdf.
Full textPrastorfer, Andreas. "Simulation-Based Portfolio Optimization with Coherent Distortion Risk Measures." Thesis, KTH, Matematisk statistik, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-266382.
Full textDenna masteruppsats behandlar portföljoptimering med linjära programmeringsalgoritmer. Bidraget av uppsatsen är en utvidgning av det konvexa ramverket för portföljoptimering med Conditional Value-at-Risk, som introducerades av Rockafeller och Uryasev. Det utvidgade ramverket behandlar riskmått som tillhör en sammansättning av den koherenta riskmåttklassen och distortions riksmåttklassen. Denna klass benämns som koherenta distortionsriskmått. De riskmått som tillhör denna klass och behandlas i uppsatsen och är Conditional Value-at-Risk, Wang Transformen, Block Maxima och Dual Block Maxima måtten. Det utvidgade portföljoptimeringsramverket appliceras på en referensportfölj bestående av aktier, optioner och ett obligationsindex från den Svenska aktiemarknaden. Tillgångarnas avkastningar, i referens portföljen, modelleras med både elliptiska fördelningar och normal-copula med asymmetriska marginalfördelningar. Portföljoptimeringsramverket är ett simuleringsbaserat ramverk som mäter risk baserat på scenarion simulerade från fördelningsmodellen som antagits för portföljen. För att modellera tillgångarnas avkastningar med asymmetriska fördelningar modelleras marginalfördelningarnas svansar med generaliserade Paretofördelningar och en normal-copula modellerar det ömsesidiga beroendet mellan tillgångarna. Resultatet av portföljoptimeringarna jämförs sinsemellan för de olika portföljernas avkastningsantaganden och de fyra riskmåtten. Problemet löses även med Markowitz optimering där "mean average deviation" används som riskmått. Denna lösning kommer vara den "benchmarklösning" som kommer jämföras mot de optimala lösningarna vilka beräknas i optimeringen med de koherenta distortionsriskmåtten. Den speciella egenskapen hos de koherenta distortionsriskmåtten som gör det möjligt att ange användarspecificerade vikter vid olika delar av förlustfördelningen och kan därför värdera mer extrema förluster som större risker. Den användardefinerade viktningsegenskapen hos riskmåtten studeras i kombination med den asymmetriska fördelningsmodellen för att utforska portföljer som tar extrema förluster i beaktande. En viktig upptäckt är att optimala lösningar till avkastningar som är modellerade med asymmetriska fördelningar är associerade med ökad risk, vilket är en konsekvens av mer exakt modellering av tillgångarnas fördelningssvansar. En annan upptäckt är, om större vikter läggs på högre förluster så ökar portföljrisken och en säkrare portföljstrategi antas.
Koren, Øystein Sand. "Contrasting broadly adopted model-based portfolio risk measures with current market conditions." Thesis, Norwegian University of Science and Technology, Department of Mathematical Sciences, 2009. http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-9824.
Full textThe last two years have seen the most volatile financial markets for decades with steep losses in asset values and a deteriorating world economy. The insolvency of several banks and their negative impact on the economy has led to criticism of their risk management systems for not being adequate and lacking foresight. This thesis will study the performance of two broadly adopted portfolio risk measures before and during the current financial turbulence to examine their accuracy and reliability. The study will be carried out on a case portfolio consisting of American and European fixed income and equity. The portfolio uses a dynamic asset allocation scheme to maximize the ratio between expected return and portfolio risk. The market risk of the portfolio will be calculated on a daily basis using both Value-at-Risk (VaR) and expected shortfall (ES) in a Monte Carlo framework. These risk measures are then compared with prior measurements and the actual loss over the period. The results from the study indicate that the implemented risk model do not give totally reliable estimates, with more frequent and larger real losses than predicted. Nevertheless, the study sees a significant worsening in the performance of the risk measures during the current financial crisis from June 2007 to December 2008 compared with the previous years. This thesis argues that VaR and ES are useful risk measures, but that users should be well aware of the pitfalls in the underlying models and take appropriate precautions.
Hoffmann, Hannes [Verfasser], and Thilo [Akademischer Betreuer] Meyer-Brandis. "Multivariate conditional risk measures : with a view towards systemic risk in financial networks / Hannes Hoffmann ; Betreuer: Thilo Meyer-Brandis." München : Universitätsbibliothek der Ludwig-Maximilians-Universität, 2017. http://d-nb.info/1137835222/34.
Full textLoukrati, Hicham. "Tail Empirical Processes: Limit Theorems and Bootstrap Techniques, with Applications to Risk Measures." Thesis, Université d'Ottawa / University of Ottawa, 2018. http://hdl.handle.net/10393/37594.
Full textChan, Meanne. "Implicit measures of early-life family conditions : relationships to psychosocial characteristics and cardiovascular disease risk in adulthood." Thesis, University of British Columbia, 2011. http://hdl.handle.net/2429/36745.
Full textMaggis, M. "ON QUASICONVEX CONDITIONAL MAPS. DUALITY RESULTS AND APPLICATIONS TO FINANCE." Doctoral thesis, Università degli Studi di Milano, 2010. http://hdl.handle.net/2434/150201.
Full textZeytun, Serkan. "Risk Measurement, Management And Option Pricing Via A New Log-normal Sum Approximation Method." Phd thesis, METU, 2012. http://etd.lib.metu.edu.tr/upload/12615148/index.pdf.
Full textNassif, Alaa Abdullah. "Organisational and social aspects, specific safety measures, cultural conditions impact on risk sources control, and general safety on manned offshore oil platform facilities in Saudi Arabia." Thesis, University of Salford, 2003. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.402046.
Full textLepage, Guillaume. "Inférence statistique des modèles conditionnellement hétéroscédastiques avec innovations stables, contraste non gaussien et volatilité mal spécifiée." Phd thesis, Université Charles de Gaulle - Lille III, 2012. http://tel.archives-ouvertes.fr/tel-00881518.
Full textLorenz, Nicole. "Application of the Duality Theory." Doctoral thesis, Universitätsbibliothek Chemnitz, 2012. http://nbn-resolving.de/urn:nbn:de:bsz:ch1-qucosa-94108.
Full textAraujo, Rita de Cássia Seixas Sampaio. "O trabalho na aviação e as práticas de saúde sob o olhar do controlador de tráfego aéreo." Universidade de São Paulo, 2000. http://www.teses.usp.br/teses/disponiveis/6/6134/tde-09012007-162311/.
Full textAir traffic controllers develop a real important activity for society. In this sense, the present study analyses the air traffic controllers social representations about their health and the health practices offered by the Aeronautic Health System, aiming at contributing for the decisions on adoption of practices for promoting and protecting aviation health and safety. This qualitative study, based on the Collective Subject Discourses (DSC), was carried out usure semi-structured interviews with 12 participants working at Approximation Control Area of São Paulo Terminal. The research allowed the characterisation of the work context and of the workers social representations about the work control, their experiences with daily risk, health conditions and practices, relationship with the military hierarchy and possible directions for the air traffic control. The study showed a great difficulty of implementing any system or administrative changes. Technology is a relevant aspect pointed as generating risk in many occurrences of system failure. Nevertheless, the air traffic control seems to be much more a social and institutional problem. There are several other different interests of the actors involved: workers, aeronautic, air companies and users. The DSC methodology allowed us to approach an organisational culture qualitatively different from other quantitative studies, and that should be known before any intervention in the work health field.
Luo, Fei-Shan, and 羅妃珊. "Risk Measure, Conditional VaR and the Performance of Portfolio Optimization." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/k8u57r.
Full text國立虎尾科技大學
經營管理研究所
96
Since the return volatility of financial assets plays an important role on the performance of portfolios, investors can improve the performance of their portfolios by controlling the volatility of their assets. Therefore, this study examines the influence of the risk estimation on the performance of portfolios. The data used in this study consists of daily returns of the 150 listed companies in the TSEC Taiwan 50 index and TSEC Taiwan Mid-Cap 100 Index and spans from June, 2003 to April, 2008. Under the framework of the fixed window approach, three risk measures, namely the equally weighted moving average model, the exponentially weighted moving average model, and the bootstrap simulation model, are employed to predict the Value-at-Risk and the Conditional Value-at-Risk of the portfolios. After solving the minimization problems of the Conditional Value-at-Risk of the portfolios, the optimal portfolios could be held and their performances could then be compared. The results of this study are shown as follows: (1) All of the optimal portfolios built by minimizing the Conditional Value-at-Risk, which are calculated by different risk measures, have better performance than that of the Taiwan Stock Exchange Capitalization Weighted Stock Index. (2) The estimates of the Value-at-Risk and Conditional Value-at-Risk predicted by different risk measures have crucial influence on the performance of the optimal asset allocation. When the confidence level is 95%, the bootstrap simulation model seems to have the best performance in the risk measures. In case of the 99% confidence level, equally weighted moving average model is the best one among the risk measures.
陳嘉祺. "The Valuation and Risk Measure of CDO-Squared under Conditional Independence." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/06886322499539142453.
Full text國立政治大學
金融研究所
95
In this paper we address the pricing issues of CDO of CDOs. Underlying the conditional indepdence assumption we use the factor copula approach to characterize the correlation of defaults events. We provide an efficient recursive algorithm that constructs the loss distribution. Our algorithm accounts for the number of defaults, the location of defaults among inner CDOs, and in addition the degree of overlapping between inner CDOs. Our algorithm is a natural extension of the probability bucketing method of Hull and White (2004). We analyze the sensitivity of different parameters on the tranche spreads of a CDO-squared, and in order to characterize the risk-reward profiles of CDO-squared tranches, we introduces appropriate risk measures that quantify the degree of overlapping among the inner CDOs. Hull and White (2004) presents a recursive scheme known as probability bucketing approach to construct conditional loss distribution of CDO. However, this approach is insufficient to capture the complexities of CDO². In the case of the modeling of CDO, we are concerned for the probabilities of different number of defaults upon a time horizon t, e.g., the probabilities of 3 defaults happened within a year. With the mentioned probabilities, we can then calculate the expected loss within the time horizon, which enables us to figure out the spreads of CDO. However, in the modeling of CDO², an appropriate valuation should be able to overcome two more difficulties: (1) the overlapping structure of the underlying CDOs, and (2) the location where defaults happened, in order to get the fair spreads of CDO².
Cong, Jianfa. "Risk Measure Approaches to Partial Hedging and Reinsurance." Thesis, 2013. http://hdl.handle.net/10012/8163.
Full textKarniychuk, Maryna. "Comparing Approximations for Risk Measures Related to Sums of Correlated Lognormal Random Variables." Master's thesis, 2006. https://monarch.qucosa.de/id/qucosa%3A17598.
Full textWeng, Chengguo. "Optimal Reinsurance Designs: from an Insurer’s Perspective." Thesis, 2009. http://hdl.handle.net/10012/4766.
Full textVan, Dyk Francois. "Evaluating novel hedge fund performance measures under different economic conditions / Francois van Dyk." Thesis, 2014. http://hdl.handle.net/10394/13443.
Full textPhD (Risk Management), North-West University, Potchefstroom Campus, 2014
Petrušová, Lucia. "Robustní metody v teorii portfolia." Master's thesis, 2016. http://www.nusl.cz/ntk/nusl-352777.
Full textLorenz, Nicole. "Application of the Duality Theory: New Possibilities within the Theory of Risk Measures, Portfolio Optimization and Machine Learning." Doctoral thesis, 2011. https://monarch.qucosa.de/id/qucosa%3A19760.
Full textDvořák, Daniel. "Principy alokace kapitálu." Master's thesis, 2016. http://www.nusl.cz/ntk/nusl-352575.
Full textHauzr, Marek. "Modely neuronových sítí pro podmíněné kvantily finančních výnosů a volatility." Master's thesis, 2016. http://www.nusl.cz/ntk/nusl-352657.
Full textPedrosa, Maria Helena Seabra. "A importância e o impacto das condições de segurança e saúde no trabalho: o caso de uma organização do setor da metalomecânica." Master's thesis, 2017. http://hdl.handle.net/10284/6303.
Full textThe main purpose of this research is to evaluate the importance and impact of health and safety conditions at work. In this context, we defined as main goals of this work: • Evaluate workers' perception of the company's performance regarding OSH conditions. • Evaluate the influence of OSH conditions on the level of motivation, productivity, work attendance and punctuality. • Assess the importance of OSH indicators from the perspective of workers. • Assess if there are variations in the perception of OSH conditions based on sociodemographic and socio-professional characteristics. • Collect recommendations from workers to improve working conditions With this purpose, it was performed a survey for employees of MM, in order to verify their satisfaction in this area. The results of this survey were analyzed statistically, and it was verified that MM employees perceive that occupational health and safety conditions influence workplace performance in terms of motivation, productivity, work attendance and punctuality. They also consider OSH indicators important. There was no evidence of variation in workers' perception of occupational health and safety conditions according to sociodemographic characteristics such as gender, age group and literacy, or sociooccupational characteristics such as occupational category and seniority in the job rank. Thus, it was possible to conclude that, from the point of view of the workers, the company MM has an OSH performance that is still not satisfactory in general, and some of the respondents point out suggestions for measures to improve working conditions. From the point of view of workers and based on published studies. the improvement of the OSH conditions will also lead to better company results in terms of motivation, productivity, work attendance and punctuality,.