Avancerad sökning

Visar resultat 1 - 5 av 19 uppsatser som matchar ovanstående sökkriterier.

  1. 1. Risk measurement of cryptocurrencies using value at risk and expected shortfall

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Van Cao Thi Hong; [2022]
    Nyckelord :cryptocurrencies; value at risk; expected shortfall; risk measurement; parametric methods; non-parametric methods; EWMA; GARCH; EGARCH; GJRGARCH; backtesting; Business and Economics;

    Sammanfattning : 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

  3. 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 statistik

    Författare :Signe Grönberg; Sofia Nilsson; [2022]
    Nyckelord :;

    Sammanfattning : 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

  4. 3. Evaluating VaR and ES for commodities - both conventionally and with neural networks

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :David Fang; Måns Eile; [2020]
    Nyckelord :Value-at-Risk; Expected Shortfall; Commodities; GARCH 1; 1 ; ANN; LSTM; Volatility forecasting; VWHS; Business and Economics;

    Sammanfattning : 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

  5. 4. An Empirical Study: Expected Shortfall Estimation Methods for a Bank's Trading Book

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Laura Emina Ludolphy; Emilia Johansson; [2020]
    Nyckelord :Expected Shortfall; Trading Book; Student’s t-distribution; GARCH 1; 1 ; Volatility Weighted Historical Simulation; Business and Economics;

    Sammanfattning : 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

  7. 5. Estimating Expected Shortfall Using Parametric and Non-Parametric Approaches

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Fredrik Hedman; Emil Håkansson; [2020]
    Nyckelord :Value at Risk; Expected Shortfall; Normal distribution; t-distribution; Historical Simulation; Extreme Value Theory; Peaks Over Threshold; Business and Economics;

    Sammanfattning : 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