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http://hdl.handle.net/2445/181463| Title: | Análisis de diferentes medidas de riesgo y apliación al EUROSTOX50 |
| Author: | Pablo Brito, Berta de |
| Director/Tutor: | Sáez Madrid, José B. Vives i Santa Eulàlia, Josep, 1963- |
| Keywords: | Avaluació del risc Matemàtica financera Estadística matemàtica Treballs de fi de grau Risk assessment Business mathematics Mathematical statistics Bachelor's theses |
| Issue Date: | 24-Jan-2021 |
| Abstract: | [en] In this project I have defined nine of the most common risk measures. These measures quantify different concepts of risk. According to these concepts, I have proposed a classification. I have analysed the advantages and disadvantages of each measure, and what being a risk-free asset means in each case. Then, I have applied them to real data from EUROSTOXX 50. For each measure, I have sorted the companies based on their risk. I have compared the order obtained from each measure to verify if the results are coherent with the proposed classification. Finally, for the measures that depend on a parameter, I have analysed how it affects the results. |
| Note: | Treballs Finals del Doble Grau d'Administració i Direcció d'Empreses i de Matemàtiques, Facultat d'Economia i Empresa i Facultat de Matemàtiques i Informàtica, Universitat de Barcelona, Curs: 2020-2021, Tutor: José B. Sáez Madrid i Josep Vives i Santa Eulàlia |
| URI: | http://hdl.handle.net/2445/181463 |
| Appears in Collections: | Treballs Finals de Grau (TFG) - Administració i Direcció d’Empreses i Matemàtiques (Doble Grau) |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| tfg_berta_de_pablo_brito.pdf | Memòria | 683.15 kB | Adobe PDF | View/Open |
| annex_de_pablo_brito_berta.pdf | Annexos | 1.16 MB | Adobe PDF | View/Open |
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