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Modelling risk in multi asset-class portfolios
Norwegian University of Science and Technology, Faculty of Information Technology, Mathematics and Electrical Engineering, Department of Mathematical Sciences.
2010 (English)MasteroppgaveStudent thesis
Abstract [en]

Using a simulation based model, with the Black-Scholes framework for equity and The LIBOR Market Model for interest rates, we study market risk in multi assetclass portfolios, with static and dynamic weighting. The risk measures considered are Value-at-Risk and Expected-Tail-Loss. The theoretical foundation is introduced and imperfections in the models and their assumptions are pointed out. The validity of the models and risk measures is tested using a backtesting procedure against data ranging from September 1999 to September 2009, with particular emphasis on the turbulent period of 2007 to September 2009. The results indicate that the models perform slightly worse on the portfolio with the added complexity of a dynamic weighting regime. No evidence of the models performing less satisfactory under the latest financial turbulence is found.

Place, publisher, year, edition, pages
Institutt for matematiske fag , 2010. , 73 p.
Keyword [no]
ntnudaim:5450, MTFYMA fysikk og matematikk, Industriell matematikk
URN: urn:nbn:no:ntnu:diva-14977Local ID: ntnudaim:5450OAI: diva2:473467
Available from: 2012-01-06 Created: 2012-01-06

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