Sökning: "Historical Simulation HS"

Visar resultat 1 - 5 av 11 uppsatser innehållade orden Historical Simulation HS.

1. 1. Hierarchical clustering of market risk models

   Master-uppsats, KTH/Matematisk statistik

   Författare :Ludvig Pucek; Viktor Sonebäck; [2017]
   Nyckelord :;

   Sammanfattning : This thesis aims to discern what factors and assumptions are the most important in market risk modeling through examining a broad range of models, for different risk measures (VaR0.01, S0:01 and ES0:025) and using hierarchical clustering to identify similarities and dissimilarities between the models. LÄS MER

3. 2. Practical estimation of Value at Risk and Expected Shortfall: Are complex methods really necessary?

   Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Henning Zakrisson; Johannes Solheim Karlsson; [2016]
   Nyckelord :GARCH; Value at Risk; Expected Shortfall; Parametric estimation; Historical simulation; Business and Economics;

   Sammanfattning : This paper tests the parametric estimation method for Value at Risk and Expected Shortfall estimation together with the historical simulation method to find out if the historical simulation could yield accurate enough estimations in stormy and calm periods. Given that the parametric estimation proved superior, the thesis examines which volatility forecasting models, using which distribution assumptions, would yield the best estimations. LÄS MER

4. 3. Measuring Risk with Expected Shortfall

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Stacy Natasya Kuntjoro; Huan Liu; [2015]
   Nyckelord :risk measure; expected shortfall; value at risk; Basel III agreement; Business and Economics;

   Sammanfattning : In 2012, The Basel Committee on Banking Supervision decided to change the standard risk measure from the well-known Value-at-Risk (VaR) to Expected Shortfal (ES). The committee believes that the new standard risk measure could offer more benefit, aside from just overcoming the major weaknesses of VaR like incoherency and inability to capture tail risk. LÄS MER

5. 4. Managing clearinghouse risk for NDF cleared contracts : Validating the HS/VaR method for NDF FX CCP Clearing risk

   Master-uppsats, KTH/Matematisk statistik

   Författare :Johan Olsson; [2015]
   Nyckelord :;

   Sammanfattning : In this thesis we describe and discuss the reality for a central clearing party clearinghouse. The importance of sound risk management is discussed. We specifically validate the usage of a Historical Simulation/VaR approach for managing the risk when acting as a CCP for the Non Delivery Forward FX instrument. LÄS MER

7. 5. Reality Check for the Value-at-Risk Estimates of the Energy Commodities

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Dingquan Miao; [2014]
   Nyckelord :Energy commodities; Value-at-Risk VaR ; Historical Simulation HS ; Historical simulation with ARMA forecasting HSAF ; Volatility weighted historical simulation VWHS ; Business and Economics;

   Sammanfattning : The fluctuations of the price in the energy market affect the households, firms and the government intuitions. We can perceive the information of the energy market from daily economic news. The entire society is concerned for the events that affect the energy market and the changing prices of the energy resources. LÄS MER