Sökning: "Volatility-weighted historical simulation"
Visar resultat 11 - 15 av 19 uppsatser innehållade orden Volatility-weighted historical simulation.
11. Measuring Risk for WTI Crude Oil - An application of Value-at-Risk
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : 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
12. Evaluation and Analysis of Value at Risk Methodologies for Exchange Rate Risk in the Euro Market
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : The deteriorating European economic situation has suggested the necessity of risk management in the exchange rate of EUR for governments and corporations, but there is few researches studying in this field. In this thesis, by choosing USD/EUR, JPY/EUR and GBP/EUR as subjects, with a focus on the availability of different methods to the estimation of exchange rate risk of EUR, we aim to calculate the VaR of those three kinds of exchange rates and try to find the most accurate model to measure exchange rate risk in different environments and periods. LÄS MER
13. Downside Risk Measurement of Thailand Equity Mutual Funds
Magister-uppsats, Lunds universitet/Företagsekonomiska institutionenSammanfattning : Abstract Value at Risk (VaR) is a simple, transparent and consistent measure that summarizes all sources of downside risk. VaR has gained acceptance in the banking industry in accordance to Basel II rules which require banks to use VaR in calculations of market risk. VaR as a risk measure is not as widely accepted in the investment industry. LÄS MER
14. Market risk in volatile times: a comparison of methods for calculating Value at Risk
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : Three standard approaches of finding Value at Risk; age weighted historical simulation, volatility weighted historical simulation and t – distribution were compared with Value –at – Risk calculated using generalized extreme value theory during the period 2000 to 2010 to see which approach that would give the most accurate forecast of actual losses during the two volatile times within the time frame. One important aspect was also to see if the results would differ depending on the holding period and quantile used. LÄS MER
15. VaR for a portfolio of Swedish Index-bonds - An empiricial evaluation
Master-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : Purpose: The purpose of this paper is to empirically evaluate the performance of seven different methods that are used when estimating Value-at-Risk for a portfolio of Swedish index-bonds with different maturities. As a supplementary objective, the paper tries to determine the history that one needs to account for when calculating VaR. LÄS MER
