Sökning: "Jacqueline Af Ugglas"

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  1. 1. Electricity as a Risk Bearing Asset from a Portfolio Perspective, Studied Through the Concept of Value at Risk with a Time Varying Correlation Approach

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Jacqueline Af Ugglas; Victor Guter; [2014]
    Nyckelord :Value at Risk; DCC; Electricity; Risk Bearing Assets; Variance; Correlation; Mathematics and Statistics;

    Sammanfattning : The purpose of this thesis is to examine if, from a portfolio perspective, the Value at Risk decreases when electricity is included as an asset to a portfolio of risk bearing assets and if this could have an impact on risk hedging strategies. The portfolio standard deviation used to calculate the Value at Risk is based on a Dynamic Conditional Correlation approach providing a time dependent correlation. LÄS MER