Browsing Bachelor Thesis - Mathematics by Title
Now showing items 1-20 of 49
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Altman's Z-score model and its bankruptcy predictive ability
(International University - HCMC, 2017)Investing and managing cash flow efficiently helps market participants making profits and becomes successful. However, not anyone joining the market has the financial background to evaluate the opportunity they have, whether ... -
Analysis model for company valuation : A case of Vietnam dairy products joint stock company
(International University - HCMC, 2017)Business analysis and valuation is used to analyze the performance of an enterprise in the past along with the economic and industry situation to measuring the intrinsic value of stock price of that firm and determine how ... -
Application Garch-Evt-Copula For Estimation Of Value At Risk
(2020)Value at Risk (VaR) is widely used risk measure in risk management. It is defined as the maximum probable loss on a given portfolio under normal circumstances, commonly accepted as a standard measure of market risk. In ... -
Applying Conditional Value At Risk In Optimizing Portfolios
(2020)Value at Risk (VaR) & Conditional Value at Risk (CVaR) is a portfolio risk assessment method, but CVaR is a more accurate and advanced risk identification than VaR. In this thesis, we will briefly introduce VaR the ... -
Applying dynamic conditional correlation- garch model in portfolio selection of Vietnam's stock market
(International University - HCMC, 2019)This thesis aims to implement Dynamic Conditional Correlation - GARCH model for estimating the conditional covariance matrices in a large dimension for Vietnamese stocks. We rst randomly select a portfolio contains 10 ... -
Applying pairs trading to Vietnamese stocks
(International University - HCMC, 2019)In this research, we nd out Pairs Trading's de nition, alogrithm. Then we apply pairs trading in Vietnamese stock market. 50 pairs of stocks in Vietnamese stock market are used to apply pairs trading. Next, we use One ... -
Banking efficiency with risk control variables using data envelopment analysis and malmquist index
(International University - HCMC, 2017)This paper is a study about Conditional Value at Risk (CVaR) concept which is widely known as an efficient instrument for measuring the amount of loss and also constructing an optimal portfolio. Based on the crucial objective ... -
The Black Litterman Model For Portfolio Optimization
(2020)In this thesis we exploit the Black-Litterman model to practice on the Vietnam stock market that using historical price data over 5-year period from January 2015 to October 2019. The model allows investors to express ... -
Clasifying personal loan by support vector machine
(International University - HCMC, 2019)The main objective of this study is to conduct a classi cation to predict whether a certain loan is safe and does not cause a default. Support Vector Machines is a handling classi cation problems due to its superior ... -
Compare Hidden Markov Model And Artificial Neural Network For Predicting Stock Price
(2020)In recent years, predicting the stock’s future price based on the past data has never ceased to draw researchers and investors’ attention. Because of the high fluctuation of the stock market every day, stock price ... -
Constructing triangular fuzzy number: The relationship between fuzzy logic controller and probabilistic controller
(International University - HCMC, 2017)The fuzzy logic proposed by Zadeh in 19965 was expected to an infusion of probability in dealing with imprecision. In 1995, Zadeh stated that probability theory and fuzzy logic was complementary rather than competitive. ... -
A copula approach to value at risk trade off and economic captital allocation
(International University - HCMC, 2019)Value-at-risk (VaR) is known as the popular measurement for risk of loss in nance. Meanwhile, there are a lot of ways that can use to estimate VaR, such as historical simulation, the variance-covariance, and the Monte ... -
Copula Theory And Application In Financial Engnineering
(International University - HCMC, 2018)This report will introduce a new way to describe the interdependence between returns and volatility of financial assets. It is based on the concept of copulas. The definition of mathematics, some characteristic properties ... -
Credit default risk prediction using boosting algorithms
(International University - HCMC, 2019)Credit risk is one of the major nancial challenges that exists in the banking system and nancial institutions. This thesis proposes a Machine-Learning-based approach named Boosting Algorithms in order to solve the ... -
Credit valuation adjustment capital charge under basel III on interest rate swap
(International University - HCMC, 2017)This thesis aims to provide an overview of Credit Valuation Adjustment (CVA) Capital Charge introduced in Basel III together with its importance for banks’ solvency position and the illustration of computing CVA capital. ... -
Customer Classification Using K-Means Clustering Method
(2020)Customer is the key component of the success of any business, especially in commercial industry. As a matter of fact, the cost of maintaining existing customers is considerably less than acquiring a new one. Thus, in ... -
Elements That Affect To The Prices Of Apartments In Ho Chi Minh City
(International University - HCMC, 2018)The research content of this thesis is conducted base on the perspective of the buyer of the apartment. Research using the Hedonic model and Principal Component Analysis (PCA) to determine the factors affecting the price ... -
Estimaste Sensitivity Of Lookback Option With Simulation Monte Carlo
(2020)Introducing Lookback option and Greeks value and the impact of Greeks on option. Applying Monte Carlo simulation for pricing Lookback call option with fixed strike price and European call option. Option price can be ... -
Estimating Value At Risk Of Portfolio By Garch-Copula Method
(2020)Facing the losses and the harmful agents that investors must suffer. The task that we identify, measure and control risks in order to prevent and minimize these risks alway important. The topic \Estimating Value at Risk ... -
Exposure at default under basel II and III
(International University - HCMC, 2017)The main reason for the financial crisis 2008 in the worldwide banking systems was the ignorance of the counterparty credit risk (CCR). In response, the Basel Committee on Banking Supervision introduced a new credit ...