Sökning: "Nicklas norling"
Hittade 3 uppsatser innehållade orden Nicklas norling.
1. Where the rainbow ends...
Magister-uppsats, Lunds universitet/Företagsekonomiska institutionenSammanfattning : Purpose: The purpose of this thesis is to evaluate which model for forecasting the variance covariance matrix is the most accurate. This is important because the more accurate forecast the more correct pricing of derivatives with several underlying instruments. LÄS MER
2. An empirical evaluation of Value-at-Risk during the financial crisis
Magister-uppsats, Lunds universitet/Företagsekonomiska institutionenSammanfattning : 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
3. Kunde den inverterade avkastningskurvan prediktera finanskrisen?
Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : Purpose: The purpose with this paper is to investigate if the inverted yield curve was a good predictor of the financial crisis and the following U.S recession and, if this is the case, which yield spread had highest level of significance. LÄS MER