Sökning: "Ola Skånberg"

Hittade 2 uppsatser innehållade orden Ola Skånberg.

1. 1. Value-at-Risk Estimation Under Shifting Volatility

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Ola Skånberg; [2013]
   Nyckelord :VaR; GARCH; Volatility; Basel; Forecast; Business and Economics;

   Sammanfattning : Due to the Basel III regulations, Value-at-Risk (VaR) as a risk measure has become increasingly important in Europe for financial institutions. But even though it has become an important risk measure, both internally within company reporting and externally due to legislation, there is no one single way to forecast VaR that has yet proven to be superior. LÄS MER

3. 2. Efficiency in the Nord Pool Electricity Exchange

   Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Ola Skånberg; [2012]
   Nyckelord :Stationarity; Efficient market hypothesis; Arbitrage; Business and Economics;

   Sammanfattning : In recent years criticism of the electricity market has been emerging. Some claim that for Sweden, the deregulation of the power market in 1996 (and consequently Sweden’s involvement in Nord Pool) has been a driving factor of rising electricity prices and a non-efficient market for electricity. LÄS MER