Sökning: "Khadar Ali Mohamed"

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  1. 1. Applying Value at Risk (VaR) analysis to Brent Blend Oil prices

    Magister-uppsats, Högskolan i Gävle/Avdelningen för ekonomi

    Författare :Khadar Ali Mohamed; [2011]
    Nyckelord :Value at Risk VaR ; Normaldistribution; Student t-distribution; Expected exception; Failure rate;

    Sammanfattning : The purpose with this study is to compare four different models to VaR in terms of accuracy, namely Historical Simulation (HS), Simple Moving Average (SMA), Exponentially Weighted Moving Average (EWMA) and Exponentially Weighted Historical Simulation (EWHS). These VaR models will be applied to one underlying asset which is the Brent Blend Oil using these confidence levels 95 %, 99 % and 99, 9 %. LÄS MER