Trigonometric Adjustment on Relative Volatility
Rodó Vila, Paula
Montllor i Serrats, Joan, dir. (Universitat Autònoma de Barcelona. Departament d'Empresa)
Universitat Autònoma de Barcelona. Facultat d'Economia i Empresa

Data: 2019
Descripció: 61 pag.
Resum: This paper aims to analyse the common linear market risk measures and to propose a complementary non-linear and non-parametric risk measure named TARV. Data and methodology have their own chapter in this paper, but they basically comprise the study of ex post returns of six Exchange Traded Products (ETPs) and two market indexes from 2014 until 2018. The approach is to complement and enhance the quantitative methods used in risk and portfolio management which have very particular profile of securities when applied to high volatile, leveraged, contrarian to market sentiment and non-linear related with the benchmark. Besides these characteristics, TARV can be applied to general traded securities as equity, portfolios, futures, non-linear payoff derivatives and indexes. Non-linear dependence between the security and the benchmark displays financial incoherence in linear risk measures, which can mislead the required capital needed in case of market turmoil and the final decision of investment decided by the manager. Beyond financial classical and coherent risk assumptions that defend risk neutrality of risk measures, TARV can provide risk aversion approach thanks to its magnificent effect on important market movements and a collapse effect on returns considered as market noise. TARV's graphical representation is like the Maximum Downward risk indicator but it relates the expected maximum market risk exposure of the security until the last pricing day available. TARV can be used as a unique or complementary gauge in risk and portfolio management but specifically in determining capital requirements, stress tests and setting hedges. An automatic adjustment on high and low volatile market periods and a supply of most outstanding movements the manager should be concerned about, are the value and original core of TARV.
Drets: Aquest document està subjecte a una llicència d'ús Creative Commons. Es permet la reproducció total o parcial i la comunicació pública de l'obra, sempre que no sigui amb finalitats comercials, i sempre que es reconegui l'autoria de l'obra original. No es permet la creació d'obres derivades. Creative Commons
Llengua: Anglès.
Titulació: Economia [2501573]
Pla d'estudis: Graduat o Graduada en Economia [952]
Document: bachelorThesis ; Text
Matèria: Empreses ; Finances ; Mercats ; Risc ; Economia financera



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