Sökning: "Khadar Ali"

Hittade 2 uppsatser innehållade orden Khadar Ali.

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

   Magister-uppsats, 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

3. 2. Value at Risk : En kvantitativ studie av Historical Simulation Approach och Simple Moving Average Approach

   Kandidat-uppsats, Handelshögskolan vid Umeå universitet

   Författare :Renato Cucurnia; Ali Khadar; [2010]
   Nyckelord :;

   Sammanfattning : .... LÄS MER