Sökning: "Hampus Back"

Visar resultat 21 - 21 av 21 uppsatser innehållade orden Hampus Back.

  1. 21. Risk Measures - from theory to an empirical study over time

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Hampus Lingnardz; [2012]
    Nyckelord :Risk Measures; Value-at-Risk; CVaR; Maximum Draw-down; Risk in Theory; Lower Partial Moments; Business and Economics;

    Sammanfattning : This thesis concerns risk measures in theory and an empirical study of their accuracy in predicting future risks, back-testing them using an out-of-sample study with a rolling window scheme. The theoretical part includes a general presentation of risk, covers various risk measures – dispersion measures and safety measures – and attempts to sort out their advantages and disadvantages. LÄS MER