Calculating Value-at-Risk under the G-Normal distribution. : Applied with Swedish data.

Sammanfattning: Value–at–Risk (VaR) since its birth at JPMorgan in the 1990s, has become widely adopted by first and foremost the financial industry, but in later days regulatory authorities as a way of calculating downside risk. The subject in hand has led to numerous attempts by both the industry as well as scholars to find the perfect settings to calculate VaR. In 2023 Peng et al. presented yet another way of calculating this financial metric. Peng et al. are basing their calculations on the mathematical theory of model uncertainty and the findings in their paper: Improving Value-at-Risk Prediction Under Model Uncertainty show enormous potential. Model Uncertainty is characterized by the interval between two positive parameters [