Sökning: "Tilila"

Hittade 1 uppsats innehållade ordet Tilila.

  1. 1. Predicting Exchange Rate Value-at-Risk and Expected Shortfall: A Neural Network Approach

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Anna Bijelic; Tilila Ouijjane; [2019]
    Nyckelord :Value-at-Risk; Expected Shortfall; Recurrent Neural Networks; GRU; GARCH 1; 1 ; Exchange Rate Volatility; Intra-day Data; Business and Economics;

    Sammanfattning : On the basis of the recommendation of the Basel Committee on Banking Supervision to transition from Value-at-Risk (VaR) to Expected Shortfall (ES) in determining market risk capital, this paper attempts to investigate whether a Recurrent Neural Network provides more accurate VaR and ES predictions of the EUR/USD exchange rate compared to the conventional GARCH(1,1) model. A number of previous studies has confirmed the forecasting ability of a plain vanilla Feedforward Neural Network over traditional statistical models. LÄS MER