• Login
    • Library Home
    View Item 
    •   BracU IR
    • Brac Business School (BBS)
    • Internship Report, BBA (Brac Business School)
    • View Item
    •   BracU IR
    • Brac Business School (BBS)
    • Internship Report, BBA (Brac Business School)
    • View Item
    JavaScript is disabled for your browser. Some features of this site may not work without it.

    Statistical arbitrage and risk management at AFC Capital Limited (AFCCL)

    Thumbnail
    View/Open
    13104186 _BBA.pdf (561.6Kb)
    Date
    2017-04-30
    Publisher
    BRAC University
    Author
    Saadi, Abrar Hassan
    Metadata
    Show full item record
    URI
    http://hdl.handle.net/10361/8660
    Abstract
    The global financial industry has evolved greatly in last three decades. Complex Financial engineering has led to innovation of a wide variety of financial instruments. Many of these evolved due to the necessity of hedging against unanticipated price fluctuations but speculation is a greater motive today. Being a financial institution AFC Capital Limited seeks to asses profitable investment strategies. Traders deploy quantitative methods to scan for active trading strategies. One of the widely used strategies include statistical arbitrage with proprietary modifications to suit for different markets worldwide. A significant part of every trade involves risk management. This paper seeks to develop active trading strategies based on arbitrage opportunities and managing risk with quantitative methods. A statistical arbitrage involves analyzing mispricing between instruments and exploit the discrepancy. We look at these opportunities from classic research examples to shed some light on the strategy. In the risk management part we look at GARCH and Artificial Neural Network methods to quantify possible risk. These models feature volatility forecast and enables a trader to spot the inherent risk present in those instruments.
    Keywords
    AFC Capital Limited; Financial institutions; Financial engineering; GARCH; Investment strategies
     
    Description
    This internship report is submitted in a partial fulfillment of the requirements for the degree of Bachelor of Business Administration, 2017.
     
    Cataloged from PDF version of internship report.
     
    Includes bibliographical references (page 27).
    Department
    BRAC Business School, BRAC University
    Collections
    • Internship Report, BBA (Brac Business School)

    Copyright © 2008-2019 Ayesha Abed Library, Brac University 
    Contact Us | Send Feedback
     

     

    Policy Guidelines

    • BracU Policy
    • Publisher Policy

    Browse

    All of BracU Institutional RepositoryCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsThis CollectionBy Issue DateAuthorsTitlesSubjects

    My Account

    LoginRegister

    Statistics

    View Usage Statistics

    Copyright © 2008-2019 Ayesha Abed Library, Brac University 
    Contact Us | Send Feedback