Análisis de diferentes medidas de riesgo y apliación al EUROSTOX50
| dc.contributor.advisor | Sáez Madrid, José B. | |
| dc.contributor.advisor | Vives i Santa Eulàlia, Josep, 1963- | |
| dc.contributor.author | Pablo Brito, Berta de | |
| dc.date.accessioned | 2021-11-24T10:15:45Z | |
| dc.date.available | 2021-11-24T10:15:45Z | |
| dc.date.issued | 2021-01-24 | |
| dc.description | 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 | ca |
| dc.description.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. | ca |
| dc.format.extent | 44 p. | |
| dc.format.mimetype | application/pdf | |
| dc.identifier.uri | https://hdl.handle.net/2445/181463 | |
| dc.language.iso | spa | ca |
| dc.rights | cc-by-nc-nd (c) Berta de Pablo Brito, 2021 | |
| dc.rights.accessRights | info:eu-repo/semantics/openAccess | ca |
| dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ | * |
| dc.source | Treballs Finals de Grau (TFG) - Administració i Direcció d’Empreses i Matemàtiques (Doble Grau) | |
| dc.subject.classification | Avaluació del risc | |
| dc.subject.classification | Matemàtica financera | |
| dc.subject.classification | Estadística matemàtica | |
| dc.subject.classification | Treballs de fi de grau | |
| dc.subject.other | Risk assessment | |
| dc.subject.other | Business mathematics | |
| dc.subject.other | Mathematical statistics | |
| dc.subject.other | Bachelor's theses | |
| dc.title | Análisis de diferentes medidas de riesgo y apliación al EUROSTOX50 | ca |
| dc.type | info:eu-repo/semantics/bachelorThesis | ca |
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