Sökning: "Otto Colbin"

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  1. 1. Forecasting Value-at-Risk and Expected Shortfall: A comparison of non- and parametric methods for crude oil amidst extreme volatility

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Otto Colbin; Yugam Sharma; [2023]
    Nyckelord :Value-at-Risk VaR ; Expected Shortfall ES ; Nonparametric estimation methods; Parametric estimation methods; Crude oil.; Business and Economics;

    Sammanfattning : Practitioners primarily utilise nonparametric methods when estimating Value-at- Risk (VaR) and Expected Shortfall (ES) for computing capital requirements. However, various researchers assert that there are issues with those estimates, particularly amidst periods of market turmoil. LÄS MER