Sökning: "Backtesting"

Visar resultat 16 - 20 av 76 uppsatser innehållade ordet Backtesting.

  1. 16. Value at Risk estimation : A comparison between different models

    Magister-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Mathias Mattsson; [2021]
    Nyckelord :CAViaR; GARCH; Value at Risk; Backtesting;

    Sammanfattning : In this thesis the performance of the quantile based CAV iaR models is evaluated and compared with GARCH models for predicting the Value at Risk. This is done by one step ahead out of sample prediction. The one step ahead out of sample prediction is done for the 500 observations at the end of the sample. LÄS MER

  3. 17. Value at Risk Estimation with Generative Adversarial Networks

    Magister-uppsats, Lunds universitet/Statistiska institutionen

    Författare :David Tobjörk; [2021]
    Nyckelord :generative adversarial networks value at risk finance machine learning neural networks; Mathematics and Statistics;

    Sammanfattning : Risk is of large importance for financial institutions and there are many different measures that can be used. A popular one is value at risk (VaR), which is the maximum likely loss for a portfolio of financial assets. Different methods of estimating it has been suggested, one often described is the variance-covariance method. LÄS MER

  4. 18. Investigating some GARCH(1,1)-type value-at-risk models pre-Covid-19 and intra-Covid-19

    Master-uppsats, Linnéuniversitetet/Institutionen för matematik (MA)

    Författare :Benjamin Ringdahl; [2021]
    Nyckelord :;

    Sammanfattning : Value-at-risk quantifies the amount of capital needed to handle future losses on investments at a given confidence level. The Covid-19 pandemic greatly increased market volatility, which motivates us to investigate value-at-risk models during this time period. LÄS MER

  5. 19. The Halloween Effect : A trick or treat in the Swedish stock market?

    Magister-uppsats, Jönköping University/IHH, Företagsekonomi

    Författare :Oliver Benjaminsson; Pontus Reinhold; [2020]
    Nyckelord :The Halloween Effect; Efficient Market Hypothesis; Calendar anomalies; Regression analysis; Trading strategies;

    Sammanfattning : The Halloween effect refers to higher stock returns during the period November to April compared to May to October. This is a well-known calendar anomaly that has gained a lot of attention due to the fact that the effect is persistent in the market in spite of the fact that investors are aware of the anomaly today. LÄS MER

  7. 20. Rebalancing 2.0-A Macro Approach to Portfolio Rebalancing

    Master-uppsats, KTH/Matematisk statistik

    Författare :Rawand Sultani; [2020]
    Nyckelord :Statistics; Applied Mathematics; Financial Mathematics; Rebalancing; Asset Allocation; Monte-Carlo; Backtesting; Makro; Statistik; Tillämpad matematik; Finansiell matematik; Rebalansering; Tillgångsallokering; Monte-Carlo; Backtesting; Makro;

    Sammanfattning : Portfolio rebalancing has become a popular tool for institutional investors the last decade. Adaptive asset allocation, an approach suggest by William Sharpe is a new approach to portfolio rebalancing taking market capitalization of asset classes into consideration when setting the normal portfolio and adapting it to a risk profile. LÄS MER