Avancerad sökning

Hittade 2 uppsatser som matchar ovanstående sökkriterier.

1. 1. Responding to the Eurozone Crisis - Applying the Shadow Rating Approach to Determine Economic Capital for Sovereign Exposures

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Simon Koskinen Rosemarin; [2014]
   Nyckelord :Mathematics and Statistics;

   Sammanfattning : The recent European sovereign-debt crisis has made it clear that exposures towards sovereigns contain credit risk. However, according to the Basel framework's standardized approach banks are not required to hold any regulatory capital for highly rated sovereigns. LÄS MER

3. 2. The Best of Two Worlds—Combining Conditional Volatility Models with Extreme Value Theory to Calculate Value at Risk

   Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Benjamin Kjellson; Simon Koskinen Rosemarin; [2012]
   Nyckelord :Value At Risk; Extreme Value Theory; Conditional Heteroskedasticity; Backtesting; Business and Economics;

   Sammanfattning : We compare Value at Risk estimates from an AR(1)-GARCH(1,1) model with t- or normally distributed innovations, to estimates from an AR(1)-GARCH(1,1) model where the Peak-Over-Threshold method is applied to the tails of the innovations. Using the Christoffersen backtest, we find that the performance of the second type of model is superior to the first, particularly at high confidence levels for the VaR estimate. LÄS MER