Sökning: "Cristoffer Vallenå"
Hittade 1 uppsats innehållade orden Cristoffer Vallenå.
1. Performance of fat-tailed Value-at-risk : A comparison using backtesting on the OMXS30
Magister-uppsats, Högskolan i Jönköping/IHH, Economics, Finance and StatisticsSammanfattning : 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
Resultatsidor:
1