Sökning: "Volatility-weighted historical simulation"

Visar resultat 6 - 10 av 19 uppsatser innehållade orden Volatility-weighted historical simulation.

1. 6. Predicting Exchange Rate Value-at-Risk and Expected Shortfall: A Neural Network Approach

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Anna Bijelic; Tilila Ouijjane; [2019]
   Nyckelord :Value-at-Risk; Expected Shortfall; Recurrent Neural Networks; GRU; GARCH 1; 1 ; Exchange Rate Volatility; Intra-day Data; Business and Economics;

   Sammanfattning : On the basis of the recommendation of the Basel Committee on Banking Supervision to transition from Value-at-Risk (VaR) to Expected Shortfall (ES) in determining market risk capital, this paper attempts to investigate whether a Recurrent Neural Network provides more accurate VaR and ES predictions of the EUR/USD exchange rate compared to the conventional GARCH(1,1) model. A number of previous studies has confirmed the forecasting ability of a plain vanilla Feedforward Neural Network over traditional statistical models. LÄS MER

3. 7. Managing Risk with Energy Commodities using Value-at-Risk and Extreme Value Theory

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Alexander Noshkov; Zafer Demirtas; [2017]
   Nyckelord :Energy Commodities; Value-at-Risk VaR ; Extreme Value Theory EVT ; Peaks over Threshold POT ; Volatility Weighted Historical Simulation VWHS ; GARCH; EGARCH; TGARCH; Business and Economics;

   Sammanfattning : 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

4. 8. An empirical study of the Value-at-Risk of the renewable energy market and the impact of the oil price

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Euan Anderson; [2015]
   Nyckelord :Two-sided Kupiec test; Student-t distribution; Normal distribution; Threshold GARCH TGARCH ; Oil; Generalized Autoregressive Heteroskedasticity GARCH ; Exponentially weighted moving average EWMA ; Volatility weighted historical simulation VWHS ; Basic historical simulation BHS ; rolling-window; Value-at-Risk VaR ; Renewable energy; Business and Economics;

   Sammanfattning : Renewable energy is gaining increasing importance in the generation of power due to the finite existence of fossil fuels and concerns about climate change. As its demand grows financial interest from investors’ increases, thus it is important to find the most effective way of quantifying the risk of the renewable energy market. LÄS MER

5. 9. Evaluation of Value-at-Risk Models During Volatility Clustering

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Medjit Yalmaz Kadir; [2014]
   Nyckelord :EWMA; VaR; VWHS; AWHS; Value-at-Risk; Business and Economics;

   Sammanfattning : In the light of the financial crisis of 2008, risk management has become one of the most important topics in the financial world. This study applies five different VaR approaches, normal distribution, student’s t distribution, historical simulation, age weighted historical simulation and volatility weighted historical simulation under three different sample windows. LÄS MER

7. 10. Reality Check for the Value-at-Risk Estimates of the Energy Commodities

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Dingquan Miao; [2014]
   Nyckelord :Energy commodities; Value-at-Risk VaR ; Historical Simulation HS ; Historical simulation with ARMA forecasting HSAF ; Volatility weighted historical simulation VWHS ; Business and Economics;

   Sammanfattning : The fluctuations of the price in the energy market affect the households, firms and the government intuitions. We can perceive the information of the energy market from daily economic news. The entire society is concerned for the events that affect the energy market and the changing prices of the energy resources. LÄS MER