Tid: 10 december 2007 kl 15.15-16.00 . Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta! Föredragshållare: Björn Löfdahl Grelsson Titel: Estimating the Impact of Stop Losses on Portfolio Risk. (Examensarbete)
Sammanfattning: When using stop losses and working according to strict risk budgeting limits, it is of utmost importance to compute an accurate estimate of the effect of these stop losses in order to take a position that matches the desired level of risk. Ignoring this analysis would lead to overestimating one's risk, thus taking a more cautious position than originally intended, which in turn could lead to smaller returns for one's portfolio. We suggest a method to examine the effect of stop losses on financial assets in terms of various risk measures, such as Value at Risk and Expected Shortfall. |