Sökning: "Student s t-distribution"

Visar resultat 11 - 15 av 30 uppsatser innehållade orden Student s t-distribution.

1. 11. The Performance of Market Risk Models for Value at Risk and Expected Shortfall Backtesting : In the Light of the Fundamental Review of the Trading Book

   Master-uppsats, KTH/Matematisk statistik

   Författare :Katja Dalne; [2017]
   Nyckelord :Risk Management; Financial Time Series; Value at Risk; Expected Shortfall; Monte Carlo Simulation; GARCH modeling; Copulas; Hybrid Distribution; Generalized Pareto Distribution; Extreme Value Theory; Backtesting; Liquidity Horizon; Basel regulation.;

   Sammanfattning : The global financial crisis that took off in 2007 gave rise to several adjustments of the risk regulation for banks. An extensive adjustment, that is to be implemented in 2019, is the Fundamental Review of the Trading Book (FRTB). LÄS MER

3. 12. Managing Risk with Energy Commodities using Value-at-Risk and Extreme Value Theory

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Alexander Noshkov; Zafer Demirtas; [2017]
   Nyckelord :Energy Commodities; Value-at-Risk VaR ; Extreme Value Theory EVT ; Peaks over Threshold POT ; Volatility Weighted Historical Simulation VWHS ; GARCH; EGARCH; TGARCH; Business and Economics;

   Sammanfattning : Today’s society requires an endless supply of energy resources to keep functioning properly. The fluctuations in the prices of energy commodities are always a concern as it affects not only investors, but regular households as well. LÄS MER

4. 13. Automatized GARCH parameter estimation

   Master-uppsats, KTH/Matematisk statistik

   Författare :Dennis Sundström; [2017]
   Nyckelord :;

   Sammanfattning : This paper is about automatizing parameter estimation of GARCH type conditional volatility models for the sake of using it in an automated risk monitoring system. Many challenges arise with this task such as guaranteeing convergence, being able to yield reasonable results regardless of the quality of the data, accuracy versus speed of the algorithm to name a few. LÄS MER

5. 14. Hierarchical clustering of market risk models

   Master-uppsats, KTH/Matematisk statistik

   Författare :Ludvig Pucek; Viktor Sonebäck; [2017]
   Nyckelord :;

   Sammanfattning : This thesis aims to discern what factors and assumptions are the most important in market risk modeling through examining a broad range of models, for different risk measures (VaR0.01, S0:01 and ES0:025) and using hierarchical clustering to identify similarities and dissimilarities between the models. LÄS MER

7. 15. Empirical Research on Value-at-Risk Methods of Chinese Stock Indexes

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Xibei Chen; [2017]
   Nyckelord :Value at Risk; TGARCH; EGARCH; Student’s t-distribution; GED; Business and Economics;

   Sammanfattning : The Chinese stock market has been established for more than 20 years. Although it is not as mature as the highly developed western securities markets, it has a huge influence on the global economy. It is significant to study the risks of the Chinese stock market, especially the risk of stock indexes. LÄS MER