Sökning: "Volatility-weighted historical simulation"

Visar resultat 16 - 19 av 19 uppsatser innehållade orden Volatility-weighted historical simulation.

  1. 16. Expected Shortfall as a Complement to Value at Risk - A study applied to commodities

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Filippa Gerstädt; Maria Olander; [2010]
    Nyckelord :Value at Risk; Expected Shortfall; nine approaches; backtesting; Business and Economics;

    Sammanfattning : Basel II requires Value at Risk (VaR) as a standardized risk measure for calculating market risk. However, the validity of the risk measure has been questioned since it neglects the losses beyond the VaR level. Expected Shortfall (ES) is a response to this limitation, as it is defined as the average of the losses ignored by VaR. LÄS MER

  3. 17. An empirical evaluation of Value-at-Risk during the financial crisis

    Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Daniel Selling; Nicklas Norling; [2010]
    Nyckelord :Value-at-Risk; Backtesting; Kupiec’s test; Historical Simulation; Normal distribution; Log-normal distribution; Student’s t-distribution; GARCH 1; 1 ; Basel.; Management of enterprises; Företagsledning; management; Business and Economics;

    Sammanfattning : In the latest financial crisis, risk management and forecasts of market losses played a crucial role in the area of finance. This thesis evaluates the theory of Value-at-Risk through a quantitative study of two non-parametric approaches and three parametric: Basic- and volatility-weighted Historical Simulation, Normal distribution, Log-normal distribution and Student’s t-distribution. LÄS MER

  4. 18. Star Vars: Finding the optimal Value-at-Risk approach for the banking industry

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Björn Eriksson; Olle Billinger; [2009]
    Nyckelord :Value-at-Risk; VaR; risk management; Backtesting; Basel; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Sammanfattning : This paper explores the concept of Value-at-Risk (VaR) through a comparative study of nonparametric and parametric models in order to find the best risk model for banks’ trading portfolios. The non-parametric methods consist of three different approaches: Simple Historical Simulation, Age Weighted Historical Simulation and Volatility Weighted Historical Simulation by means of the EWMA and GARCH models for forecasting volatility. LÄS MER

  5. 19. Estimation of the market risk exposure of Vietnamese banks’ portfolios using VaR approach

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Ngoc Ha Dang; Thi Huyen Vi Nguyen; [2008]
    Nyckelord :Value-at-Risk; non-parametric; Market risk; Backtesting; Parametric; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Sammanfattning : This paper analyses the effectiveness of different methods to estimate Value-at-Risk (VaR) of VN-index, proxy of a Vietnamese bank’s portfolio. Both parametric and non-parametric approaches are employed to estimate daily VaRs for two sets of data, one of those sets is 8 months behind the other. LÄS MER