Sökning: "Volatility weighted historical simulation VWHS"
Visar resultat 1 - 5 av 9 uppsatser innehållade orden Volatility weighted historical simulation VWHS.
1. Risk measurement of cryptocurrencies using value at risk and expected shortfall
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : Cryptocurrencies are highly volatile and risky assets, therefore, it is of vital importance to find an appropriate model for risk measurement. This thesis compares three parametric and three non-parametric estimation methods to estimate the value at risk and the expected shortfall of five cryptocurrencies, namely Bitcoin (BTC), Ethereum (ETH), Binance coin (BNB), Ripple coin (XRP), and Cardano (ADA). LÄS MER
2. Forecasting Value-at-Risk using GARCH(1,1) and Neural Networks as Volatility Estimation Methods – A Comparative Study
Uppsats för yrkesexamina på avancerad nivå, Umeå universitet/Institutionen för matematik och matematisk statistikSammanfattning : Northvolt was founded in 2015 with the goal to create the world's greenest battery. Today, Northvolt is mainly funded by investors and have suppliers all over the world, which does not come risk free. LÄS MER
3. Evaluating VaR and ES for commodities - both conventionally and with neural networks
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : As commodities are becoming more popular and accessible assets for speculative and hedging purposes, the limited research regarding risk management for said asset-class justifies further contribution to the deficient output. Many previous studies have highlighted the extraordinary high volatility, with non-linear and clustering characteristics associated with commodities. LÄS MER
4. An Empirical Study: Expected Shortfall Estimation Methods for a Bank's Trading Book
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : This thesis investigates methods that estimate the Expected Shortfall correctly by passing the Acerbi-Szekely (2014) backtest in both stressed and calm periods. This backtest is added to in this thesis to test against both under- and overestimation of ES. LÄS MER
5. Managing Risk with Energy Commodities using Value-at-Risk and Extreme Value Theory
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : 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