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Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/181463
Análisis de diferentes medidas de riesgo y apliación al EUROSTOX50
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[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.
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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
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PABLO BRITO, Berta de. Análisis de diferentes medidas de riesgo y apliación al EUROSTOX50. [consulted: 12 of August of 2026]. Available at: https://hdl.handle.net/2445/181463