Title: Optimization and stress tests Author: Diana Fašungová Department: Department of Probability and Mathematical Statistics Supervisor: Prof. RNDr. Jitka Dupačová, DrSc., Department of Probability and Mathematical Statistics Abstract: In the thesis we apply contamination technique on a portfolio optimiza- tion problem using minimization of risk measure CVaR. The problem is considered from a risk manager point of view. We stress correlation structure of data and of revenues using appropriately chosen data for this kind of problem and for ge- nerated stress scenarios. From behaviour of CVaR with regard to contamination bounds, we formulate recommendations for the risk manager optimizing his port- folio. The recommendations are interpreted for both types of stress scenarios. In the end, limitations of the model and possible ways of improvement are discussed. Keywords: contamination bounds, stress tests, portfolio optimization, risk mana- gement
Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:321427 |
Date | January 2013 |
Creators | Fašungová, Diana |
Contributors | Dupačová, Jitka, Kozmík, Václav |
Source Sets | Czech ETDs |
Language | Slovak |
Detected Language | English |
Type | info:eu-repo/semantics/masterThesis |
Rights | info:eu-repo/semantics/restrictedAccess |
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