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1. 1. 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