A risk comparison between traditional and responsible investing using caviar

Detalhes bibliográficos
Autor(a) principal: Galeotti, Sonia
Data de Publicação: 2021
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/122681
Resumo: As the most used risk measure, Value at Risk allows for the expression of the market risk associated with any portfolio through one monetary number. This paper employs a new VaR approach, the Conditional Autoregressive Value at Risk, which specifies the evolution of quantiles over time using an autoregressive methodology and it estimates the parameters with quantile regression. The model is used to investigate whether sustainable financial instruments are able to reduce risk exposure. For that purpose an index comparison between a sustainable and a traditional instrument has been performed.
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spelling A risk comparison between traditional and responsible investing using caviarCaviarEsg investingRisk managementResponsible investingDomínio/Área Científica::Ciências Sociais::Economia e GestãoAs the most used risk measure, Value at Risk allows for the expression of the market risk associated with any portfolio through one monetary number. This paper employs a new VaR approach, the Conditional Autoregressive Value at Risk, which specifies the evolution of quantiles over time using an autoregressive methodology and it estimates the parameters with quantile regression. The model is used to investigate whether sustainable financial instruments are able to reduce risk exposure. For that purpose an index comparison between a sustainable and a traditional instrument has been performed.Rodrigues, Paulo Manuel MarquesRUNGaleotti, Sonia2021-08-18T13:09:45Z2021-01-132021-01-032021-01-13T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/122681TID:202741630enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T05:04:14Zoai:run.unl.pt:10362/122681Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:44:49.787079Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv A risk comparison between traditional and responsible investing using caviar
title A risk comparison between traditional and responsible investing using caviar
spellingShingle A risk comparison between traditional and responsible investing using caviar
Galeotti, Sonia
Caviar
Esg investing
Risk management
Responsible investing
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short A risk comparison between traditional and responsible investing using caviar
title_full A risk comparison between traditional and responsible investing using caviar
title_fullStr A risk comparison between traditional and responsible investing using caviar
title_full_unstemmed A risk comparison between traditional and responsible investing using caviar
title_sort A risk comparison between traditional and responsible investing using caviar
author Galeotti, Sonia
author_facet Galeotti, Sonia
author_role author
dc.contributor.none.fl_str_mv Rodrigues, Paulo Manuel Marques
RUN
dc.contributor.author.fl_str_mv Galeotti, Sonia
dc.subject.por.fl_str_mv Caviar
Esg investing
Risk management
Responsible investing
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Caviar
Esg investing
Risk management
Responsible investing
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description As the most used risk measure, Value at Risk allows for the expression of the market risk associated with any portfolio through one monetary number. This paper employs a new VaR approach, the Conditional Autoregressive Value at Risk, which specifies the evolution of quantiles over time using an autoregressive methodology and it estimates the parameters with quantile regression. The model is used to investigate whether sustainable financial instruments are able to reduce risk exposure. For that purpose an index comparison between a sustainable and a traditional instrument has been performed.
publishDate 2021
dc.date.none.fl_str_mv 2021-08-18T13:09:45Z
2021-01-13
2021-01-03
2021-01-13T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/122681
TID:202741630
url http://hdl.handle.net/10362/122681
identifier_str_mv TID:202741630
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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