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Dokumenttyp:
Diplomarbeit 
Autor(en):
Knöferl, Harald 
Titel:
Calibration of a real world economic scenario generator 
Abstract:
In this thesis a real world economic scenario generator - based on the Zagst model to describe the main economic factors and using an auto regressive markow switching process to model equity returns - is calibrated. The goal is to perform automated calibrations that are oriented on historical stylized facts but allow to inject external assumptions about future evolutions. For this purpose, a historical calibration is shown and used as a starting point. The calibration will then be modified to in...    »
 
Gutachter:
Prof. Dr. Rudi Zagst 
Jahr:
2011 
Quartal:
3. Quartal 
Monat:
Sep 
Sprache:
en 
Hochschule / Universität:
Technische Universität München 
Fakultät:
Fakultät für Mathematik 
Format:
Text 
Annahmedatum:
30.09.2011