Sökning: "Basic historical simulation BHS"

Hittade 4 uppsatser innehållade orden Basic historical simulation BHS.

1. 1. Risk measurement of cryptocurrencies using value at risk and expected shortfall

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Van Cao Thi Hong; [2022]
   Nyckelord :cryptocurrencies; value at risk; expected shortfall; risk measurement; parametric methods; non-parametric methods; EWMA; GARCH; EGARCH; GJRGARCH; backtesting; Business and Economics;

   Sammanfattning : Cryptocurrencies are highly volatile and risky assets, therefore, it is of vital importance to find an appropriate model for risk measurement. This thesis compares three parametric and three non-parametric estimation methods to estimate the value at risk and the expected shortfall of five cryptocurrencies, namely Bitcoin (BTC), Ethereum (ETH), Binance coin (BNB), Ripple coin (XRP), and Cardano (ADA). LÄS MER

3. 2. An empirical study of the Value-at-Risk of the renewable energy market and the impact of the oil price

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Euan Anderson; [2015]
   Nyckelord :Two-sided Kupiec test; Student-t distribution; Normal distribution; Threshold GARCH TGARCH ; Oil; Generalized Autoregressive Heteroskedasticity GARCH ; Exponentially weighted moving average EWMA ; Volatility weighted historical simulation VWHS ; Basic historical simulation BHS ; rolling-window; Value-at-Risk VaR ; Renewable energy; Business and Economics;

   Sammanfattning : Renewable energy is gaining increasing importance in the generation of power due to the finite existence of fossil fuels and concerns about climate change. As its demand grows financial interest from investors’ increases, thus it is important to find the most effective way of quantifying the risk of the renewable energy market. LÄS MER

4. 3. Modeling Value-at-Risk(VaR) in a Small Sized Emerging Financial Market: Evidence from Botswana

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Ikanyeng Segonetso; Nayram Kodjo Mensah; [2014]
   Nyckelord :VaR; EVT; POT; Sub Saharan Africa; policy makers; Business and Economics;

   Sammanfattning : Aim of the study: The objective of this study is to model VaR in a small sized rapidly developing financial market in Sub-Saharan Africa which has not only served as a haven for a number of foreign investors, but also has provided the best inflation adjusted returns. This market is of profound interest given that it has received limited attention from policy analysts and previous studies. LÄS MER

5. 4. Measuring Risk for WTI Crude Oil - An application of Value-at-Risk

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Alexander Eriksson; Jonathan Ljungqvist; [2014]
   Nyckelord :Market Risk; VaR; Crude oil; Forecasting; Business and Economics;

   Sammanfattning : Crude oil is the most traded energy commodity in the world, and its price has a large impact on the everyday life of billions. Given the volatility of crude oil prices and its enormous effects on economies worldwide, there has been a growing demand for risk quantification and risk management for the market participants. LÄS MER