Sökning: "Volatility-weighted historical simulation"
Visar resultat 1 - 5 av 19 uppsatser innehållade orden Volatility-weighted historical simulation.
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. Estimating Expected Shortfall Using Parametric and Non-Parametric Approaches
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : With the implementation of the Fundamental Review of the Trading Book in January of 2022, financial institutions will be obligated to implement Expected Shortfall as a means of determining market risk capital. With the transition from Value at Risk to Expected Shortfall, the question of how to accurately forecast Expected Shortfall arises. LÄS MER