Blar i NTNU Open på forfatter "Skjelstad, Margrethe Ringkjøb"
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Portfolio Stress Testing Applied to Commodity Futures
Paraschiv, Florentina; Reese, Stine Marie; Skjelstad, Margrethe Ringkjøb (Journal article; Peer reviewed, 2020)In this article, we construct a portfolio of commodity futures which mimics the Dow Jones Commodity Index and perform an extensive stress testing exercise with a focus on hybrid scenarios. The increased volume of investments ... -
Portfolio Stress Testing Applied to Commodity Futures
Reese, Stine Marie; Skjelstad, Margrethe Ringkjøb (Master thesis, 2018)In this thesis, we construct a portfolio of commodity futures, which mimics the Dow Jones Commodity Index, and perform an extensive stress testing exercise with a focus on hybrid scenarios. Limitations to the risk management ...