Sökning: "rolling window backtest"

Hittade 4 uppsatser innehållade orden rolling window backtest.

  1. 1. Empirical Analysis of Joint Quantile and Expected Shortfall Regression Backtests

    Master-uppsats, Uppsala universitet/Sannolikhetsteori och kombinatorik

    Författare :Viktor Ågren; [2023]
    Nyckelord :risk metric; expected shortfall; backtest; value at risk; empirical analysis;

    Sammanfattning : In this work, we look into the practical applicability of three joint quantile and expected shortfall regression backtests. The strict, auxiliary, and intercept ESR backtests are applied to the historical log returns of the OMX Stockholm 30 market-weight price index. LÄS MER

  3. 2. Pairs Trading: Evaluation of profitability and risks on the Swedish stock market

    Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Pavel Lisev; Marc Schurer; [2015]
    Nyckelord :cointegration; pairs trading; market-neutrality; rolling window backtest; OMX; Business and Economics;

    Sammanfattning : The turbulent market environment experienced over the last decades has attracted the broad interest of institutional and retail investors towards non-directional and absolute return investment strategies. The scope of this paper mainly concerns the investigation of whether a pairs trading strategy based on the cointegration approach generates excess returns on the Swedish equity market or fails to meet initial expectations. LÄS MER

  4. 3. Performance of fat-tailed Value-at-risk : A comparison using backtesting on the OMXS30

    Magister-uppsats, Högskolan i Jönköping/IHH, Economics, Finance and Statistics

    Författare :Cristoffer Vallenå; Henrik Askvik; [2014]
    Nyckelord :Risk management; Value-at-Risk; VaR; Fat-tails; Backtesting; GARCH;

    Sammanfattning : The aim of this thesis is to test if the application of fat tailed distributions in value-at-risk models is of better use for risk managers than the Normal distribution. Value-at-risk is a regulatory tool used in Basel regulations. Basel II and III regulate capital required by banks according to value-at-risk backtest results. LÄS MER

  5. 4. 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