Sökning: "Kupiec´s backtest"

Hittade 3 uppsatser innehållade orden Kupiec´s backtest.

  1. 1. Prediction of Volatility and Value at Risk with Copulas for Portfolios of Commodities

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Felix Mörée; [2016]
    Nyckelord :Commodities; Copula; GARCH; VaR; Mathematics and Statistics;

    Sammanfattning : Value at Risk (VaR) is a popular measurement for valuing the risk exposure. Correct estimates of VaR are essential in order to properly be able to monitor the risk. This thesis examines a copula approach for estimating VaR for portfolios of commodities. The predictions are made from a semi- parametric model with Monte Carlo methods. LÄS MER

  3. 2. Olja som volatil tillgång - En utvärdering av Value at Risk

    Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Daniel Svensson; [2010]
    Nyckelord :Value at Risk; Moving Average; Exponentially Weight Moving Average; Cornish - Fisher; Kupiec´s backtest; Business and Economics;

    Sammanfattning : Sett till senaste finanskrisen kan konstateras att oroligheterna på marknaden haft stor påverkan på oljepriset och i synnerhet West Texas Intermediate (WTI), vilken jag valt att titta på. Tydliga signaler pekar på relevansen av att kunna prognostisera oanade utfall (risk). LÄS MER

  4. 3. An empirical evaluation of Value-at-Risk during the financial crisis

    Magister-uppsats, Lunds universitet/Företagsekonomiska institutionen

    Författare :Daniel Selling; Nicklas Norling; [2010]
    Nyckelord :Value-at-Risk; Backtesting; Kupiec’s test; Historical Simulation; Normal distribution; Log-normal distribution; Student’s t-distribution; GARCH 1; 1 ; Basel.; Management of enterprises; Företagsledning; management; Business and Economics;

    Sammanfattning : In the latest financial crisis, risk management and forecasts of market losses played a crucial role in the area of finance. This thesis evaluates the theory of Value-at-Risk through a quantitative study of two non-parametric approaches and three parametric: Basic- and volatility-weighted Historical Simulation, Normal distribution, Log-normal distribution and Student’s t-distribution. LÄS MER