A risk comparison between traditional and responsible investing using caviar
Autor(a) principal: | |
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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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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 |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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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1799138055083261952 |