Systemic risk measurement based on multivariate statistical models
| Autor: | Maslać, Marko |
|---|---|
| Přispěvatelé: | Kostanjčar, Zvonko |
| Jazyk: | chorvatština |
| Rok vydání: | 2016 |
| Předmět: |
PCA
FA dionice principal component analysis financial crisis TEHNIČKE ZNANOSTI. Računarstvo financijski vremeneski nizovi financial time series factor analysis stocks S&P 500 analiza glavnih komponenti faktorska analiza TECHNICAL SCIENCES. Computing systemic risk financijska kriza Crobex sistemski rizik |
| Popis: | U okviru diplomskog rada ispitana je primjenjivost multivarijatnih statističkih metoda za mjerenje sistemskog rizika. Analiza je provedena za na S&P 500 i Crobexu. Rad sadrži četiri računalna modela na temelju kojih se mjeri sistemski rizik preko analize glavnih komponenti i faktorske analize. Modeli služe kao indikator rizika te porast ili propad signala dobivenih modelima ukazuje na razinu sistemskog rizika na tržištu. U procesu stvaranja modela rađale su se brojne ideje za unapređenje sustava koje su predložene kao budući rad. This project analyzes systemic risk measurement based on multivariate statistical models. The analysis was performed for the S&P 500 and CROBEX. Four computer models were developed and processed based on principal component analysis and factor analysis. Models are indicators of systemic risk and increase or decrease of the signal level indicates the level of systemic risk in the financial markets. During the process of the models, we got many ideas for the improvement of the system that could be used in further development. |
| Databáze: | OpenAIRE |
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