Sökning: "Student s t-distribution"

Visar resultat 21 - 25 av 30 uppsatser innehållade orden Student s t-distribution.

1. 21. Evaluation of Value-at-Risk Models During Volatility Clustering

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Medjit Yalmaz Kadir; [2014]
   Nyckelord :EWMA; VaR; VWHS; AWHS; Value-at-Risk; Business and Economics;

   Sammanfattning : In the light of the financial crisis of 2008, risk management has become one of the most important topics in the financial world. This study applies five different VaR approaches, normal distribution, student’s t distribution, historical simulation, age weighted historical simulation and volatility weighted historical simulation under three different sample windows. LÄS MER

3. 22. 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

4. 23. Value at Risk for Emerging Markets' Funds

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Måns Hägerdal; Camilla Andersson; [2014]
   Nyckelord :Value at Risk; Africa; the Middle East; Latin America; funds; Business and Economics;

   Sammanfattning : Value at Risk is a commonly used risk measure which calculates the smallest losses you risk to lose from having an asset, given a certain risk level and time period. Even though Value at Risk is applicable to all different types of assets, some studies suggest that this risk measure is not suitable for developing countries/emerging markets. LÄS MER

5. 24. The performance of time-varying volatility and regime switching models in estimating Value-at-Risk

   Master-uppsats, Lunds universitet/Företagsekonomiska institutionen

   Författare :Alina Birtoiu; Florin George Dragu; [2012]
   Nyckelord :Business and Economics;

   Sammanfattning : Markov Regime-Switching GARCH (MRS-GARCH) models have been gaining popularity due to their ability to account for shifts volatility regimes that tend to characterize returns series. Previous empirical studies have shown that this capacity to capture the volatility dynamics leads to a superior forecasting power of the MRS models. LÄS MER

7. 25. Value at Risk: A Standard Tool in Measuring Risk : A Quantitative Study on Stock Portfolio

   Master-uppsats, Handelshögskolan vid Umeå universitet

   Författare :Hosea Ofe; Peter Okah; [2011]
   Nyckelord :Value at Risk; Back Testing; Kupiec Test; Student T-Distribution; Historical Simulation; Normal Distribution; and Exponentially Weighted Moving Average.;

   Sammanfattning : The role of risk management has gained momentum in recent years most notably after the recent financial crisis. This thesis uses a quantitative approach to evaluate the theory of value at risk which is considered a benchmark to measure financial risk. LÄS MER