Sökning: "value at risk basel II"

Visar resultat 1 - 5 av 11 uppsatser innehållade orden value at risk basel II.

  1. 1. GARCH models applied on Swedish Stock Exchange Indices

    Kandidat-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Wiktor Blad; Vilim Nedic; [2019]
    Nyckelord :Value-at-Risk; GARCH; GJR-GARCH; EGARCH; student´s t distribution; generalized error distribution; Kupiec´s test; Chrisoffersen´s test; forecast;

    Sammanfattning : In the financial industry, it has been increasingly popular to measure risk. One of the most common quantitative measures for assessing risk is Value-at-Risk (VaR). VaR helps to measure extreme risks that an investor is exposed to. LÄS MER

  3. 2. Fundamental review of the trading book - The new approach to measure market risk

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Jonas Drakenberg; Samuel Hegnell; [2017]
    Nyckelord :Expected Shortfall; Value-at-Risk; Fundamental Review of the Trading Book; Bank for International Settlements; Basel Committee on Banking Supervision; Market risk; Parametric approach; Non-parametric approach; Business and Economics;

    Sammanfattning : The Fundamental Review of the Trading Book sets the standard for the most recent regulatory framework for minimum capital requirement within market risk. It will be implemented gradually up until 2019 and will overhaul a major part of the current regulation. LÄS MER

  4. 3. Managing Market Risk in Europe: The Performance of Value-at-Risk Models in Different Economic Conditions and the Impact of Basel II.5 on Financial Stability

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Anastasia Skosyrskaya; Helena Zitzmann; [2015]
    Nyckelord :Value-at-Risk VaR ; Backtesting; Basel II.5; Market Risk Charges; Financial Crisis;

    Sammanfattning : Major regulatory standards, like the Basel II.5 accord, refer to a bank's internal Value-at-Risk model for determining its respective amount of market risk and for imposing adequate capital charges on the bank. LÄS MER

  5. 4. Performance of fat-tailed Value-at-risk : A comparison using backtesting on the OMXS30

    Magister-uppsats, Högskolan i Jönköping/IHH, Economics, Finance and Statistics

    Författare :Cristoffer Vallenå; Henrik Askvik; [2014]
    Nyckelord :Risk management; Value-at-Risk; VaR; Fat-tails; Backtesting; GARCH;

    Sammanfattning : The aim of this thesis is to test if the application of fat tailed distributions in value-at-risk models is of better use for risk managers than the Normal distribution. Value-at-risk is a regulatory tool used in Basel regulations. Basel II and III regulate capital required by banks according to value-at-risk backtest results. LÄS MER

  7. 5. Examining GARCH forecasts for Value-at-Risk predictions

    Kandidat-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Dennis Lindholm; Adam Östblom; [2014]
    Nyckelord :Value-at-Risk; Unconditional coverage; Christoffersen’s; GJR-GARCH;

    Sammanfattning : In this thesis we use the GARCH(1,1) and GJR-GARCH(1,1) models to estimate the conditional variance for five equities from the OMX Nasdaq Stockholm (OMXS) stock exchange. We predict 95% and 99% Value-at-Risk (VaR) using one-day ahead forecasts, under three different error distribution assumptions, the Normal, Student’s t and the General Error Distribution. LÄS MER