Sökning: "Benjamin Kjellson"

Hittade 2 uppsatser innehållade orden Benjamin Kjellson.

1. 1. Forecasting Expected Shortfall: An Extreme Value Approach

   Kandidat-uppsats, Lunds universitet/Matematisk statistik

   Författare :Benjamin Kjellson; [2013]
   Nyckelord :Mathematics and Statistics;

   Sammanfattning : We compare estimates of Value at Risk and Expected Shortfall from AR(1)-GARCH(1,1)-type models (standard GARCH, GJR-GARCH, Component GARCH), to estimates produced using the Peak Over Threshold method on the residuals of these models. We find that the conditional volatility model matters less than the choice of distribution for the innovations in the loss process, for which we compare the normal and the t-distribution. LÄS MER

3. 2. The Best of Two Worlds—Combining Conditional Volatility Models with Extreme Value Theory to Calculate Value at Risk

   Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Benjamin Kjellson; Simon Koskinen Rosemarin; [2012]
   Nyckelord :Value At Risk; Extreme Value Theory; Conditional Heteroskedasticity; Backtesting; Business and Economics;

   Sammanfattning : We compare Value at Risk estimates from an AR(1)-GARCH(1,1) model with t- or normally distributed innovations, to estimates from an AR(1)-GARCH(1,1) model where the Peak-Over-Threshold method is applied to the tails of the innovations. Using the Christoffersen backtest, we find that the performance of the second type of model is superior to the first, particularly at high confidence levels for the VaR estimate. LÄS MER