Sökning: "Christoffersen’s test"

Hittade 3 uppsatser innehållade orden Christoffersen’s test.

1. 1. Value at Risk estimation : A comparison between different models

   Magister-uppsats, Uppsala universitet/Statistiska institutionen

   Författare :Mathias Mattsson; [2021]
   Nyckelord :CAViaR; GARCH; Value at Risk; Backtesting;

   Sammanfattning : In this thesis the performance of the quantile based CAV iaR models is evaluated and compared with GARCH models for predicting the Value at Risk. This is done by one step ahead out of sample prediction. The one step ahead out of sample prediction is done for the 500 observations at the end of the sample. LÄS MER

3. 2. Parametric Estimation of Value at Risk

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

   Författare :Lisa Wimmerstedt; [2013]
   Nyckelord :Value at Risk; Parametric methods; Risk management; Volatility models; Basle capital charges;

   Sammanfattning : Previous research has shown that the non-parametric Value at Risk methods normally used by financial institutions are conservative and that violations often happen in clusters. While earlier research has found efficiency gains from using parametric methods over non-parametric methods, a majority of the studies have been carried out on equity indices. LÄS MER

4. 3. Value-at-Risk : Historisk simulering som konkurrenskraftig beräkningsmodell

   Kandidat-uppsats, Institutionen för ekonomisk och industriell utveckling

   Författare :Jonas Ekblom; John Andersson; [2008]
   Nyckelord :VaR; historical simulation; dynamic volatility; VaR; historisk simulering; dynamisk volatilitet;

   Sammanfattning : Value-at-Risk (VaR) is among financial institutions a commonly used tool for measuring market risk. Several methods to calculate VaR exists and different implementations often results in different VaR forecasts. LÄS MER