Sökning: "Skewed student s t-distribution"

Hittade 4 uppsatser innehållade orden Skewed student s t-distribution.

  1. 1. A study incorporating skewness in Expected Shortfall Estimation

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Sreeja Madhavi Prajeesh; [2021]
    Nyckelord :Value at Risk; Expected shortfall; normal distribution; student t-distribution; skewed student t-distribution.; Business and Economics;

    Sammanfattning : Expected Shortfall has become a prominent risk measure after the global financial crisis which hit the economy in 2007. This master thesis examines whether Expected Shortfall (ES) estimation gives better estimates when we incorporate skewness and the impact during turbulent versus tranquil period. LÄS MER

  3. 2. An Empirical Study: Expected Shortfall Estimation Methods for a Bank's Trading Book

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Laura Emina Ludolphy; Emilia Johansson; [2020]
    Nyckelord :Expected Shortfall; Trading Book; Student’s t-distribution; GARCH 1; 1 ; Volatility Weighted Historical Simulation; Business and Economics;

    Sammanfattning : This thesis investigates methods that estimate the Expected Shortfall correctly by passing the Acerbi-Szekely (2014) backtest in both stressed and calm periods. This backtest is added to in this thesis to test against both under- and overestimation of ES. LÄS MER

  4. 3. Expected Shortfall Estimation

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Kristina Boehm; [2019]
    Nyckelord :normal; skewed; t-distribution; Expected Shortfall; Value at Risk; Business and Economics;

    Sammanfattning : This thesis evaluates the performance of Expected Shortfall estimation with normal, student-t and skewed distributions. It is stylized fact that student-t distribution generally outperforms normal distribution. LÄS MER

  5. 4. Empirical Research on Value-at-Risk Methods of Chinese Stock Indexes

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Xibei Chen; [2017]
    Nyckelord :Value at Risk; TGARCH; EGARCH; Student’s t-distribution; GED; Business and Economics;

    Sammanfattning : The Chinese stock market has been established for more than 20 years. Although it is not as mature as the highly developed western securities markets, it has a huge influence on the global economy. It is significant to study the risks of the Chinese stock market, especially the risk of stock indexes. LÄS MER