Sökning: "Fianncial Mathematics"

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  1. 1. How useful are intraday data in Risk Management? : An application of high frequency stock returns of three Nordic Banks to the VaR and ES calculation

    Magister-uppsats, Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)

    Författare :Emil Somnicki; Krzysztof Ostrowski; [2010]
    Nyckelord :Fianncial Mathematics; Risk management; high frequency data; intraday; Value at Risk; VaR; Expected Shortfall; ES; NIG; nGARCH; tGARCH; NIG-GARCH;

    Sammanfattning : The work is focused on the Value at Risk and the Expected Shortfallcalculation. We assume the returns to be based on two pillars - the white noise and the stochastic volatility. We assume that the white noise follows the NIG distribution and the volatility is modeled using the nGARCH, NIG-GARCH, tGARCH and the non-parametric method. LÄS MER