Sökning: "Conditional Autoregressive Value-at-Risk"

Visar resultat 1 - 5 av 7 uppsatser innehållade orden Conditional Autoregressive Value-at-Risk.

1. 1. Training Risk Measure Models to Ascertain Which Continent’ Equity Has the Highest Risk ForInvestment Based On Randomly Selected Individual Continents’ Equities Listed On The New YorkStock Exchange

   Master-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

   Författare :Evelyn Dela Gbadago; [2021]
   Nyckelord :Continetal investment; New York Stock Exchange; Value-at-Risk; Special Metal Industry and Africa.;

   Sammanfattning : Western countries, institutions, and people from all walks of land, including Africans, have carried the notion that it is riskier to invest in African countries compared to countries in other continents. This study verified if that notion is empirically established or it is just a mere notion born out of people's imagination and unfounded belief. LÄS MER

3. 2. 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. 3. An Empirical Analysis of the Influence of Jump Dynamics on Value-at-Risk Estimation

   Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Christian Vogl; [2016]
   Nyckelord :GARJI; Autoregressive Conditional Jump Intensity; Leptokurtic GARCH models; VaR; Backtesting; Business and Economics;

   Sammanfattning : Abstract Recent financial crises have demonstrated the importance of accurately measuring financial risks in order to be able to employ mitigating risk policies. This essay investigates the question whether a GARCH model augmented by an autoregressive conditional jump intensity component can improve value-at-risk forecasts in comparison to common GARCH models. LÄS MER

5. 4. 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

7. 5. VaR for a portfolio of Swedish Index-bonds - An empiricial evaluation

   Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Magnus Johansson; [2011]
   Nyckelord :Value-at-Risk; Conditional Autoregressive Value-at-Risk; Age-weighted historical simulation; Volatility-weighted historical simulation; GARCH 1; 1 ; Normal distribution; Student’s t-distribution; Christoffersen’s test; Business and Economics;

   Sammanfattning : Purpose: The purpose of this paper is to empirically evaluate the performance of seven different methods that are used when estimating Value-at-Risk for a portfolio of Swedish index-bonds with different maturities. As a supplementary objective, the paper tries to determine the history that one needs to account for when calculating VaR. LÄS MER