Essays about: "BHS"

Showing result 1 - 5 of 9 essays containing the word BHS.

1. 1. Forecasting Value-at-Risk and Expected Shortfall: A comparison of non- and parametric methods for crude oil amidst extreme volatility

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Otto Colbin; Yugam Sharma; [2023]
   Keywords : Value-at-Risk VaR ; Expected Shortfall ES ; Nonparametric estimation methods; Parametric estimation methods; Crude oil.; Business and Economics;

   Abstract : Practitioners primarily utilise nonparametric methods when estimating Value-at- Risk (VaR) and Expected Shortfall (ES) for computing capital requirements. However, various researchers assert that there are issues with those estimates, particularly amidst periods of market turmoil. READ MORE

3. 2. Black Hole Dynamics in Stellar Clusters

   University essay from Lunds universitet/Institutionen för astronomi och teoretisk fysik - Genomgår omorganisation; Lunds universitet/Astronomi - Genomgår omorganisation

   Author : Markus Strickert; [2022]
   Keywords : Black Holes; Globular Clusters; Dynamics; Intermediate-mass black holes; Simulations; Physics and Astronomy;

   Abstract : Star clusters can harbour many exotic objects, including black holes (BHs), X-ray binaries and blue straggler stars. In dense stellar environments like globular clusters (GCs), two-body relaxation drives their dynamical evolution, where gravitational interactions between stars strive to equalize their kinetic energy in the cluster. READ MORE

4. 3. Risk measurement of cryptocurrencies using value at risk and expected shortfall

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Van Cao Thi Hong; [2022]
   Keywords : cryptocurrencies; value at risk; expected shortfall; risk measurement; parametric methods; non-parametric methods; EWMA; GARCH; EGARCH; GJRGARCH; backtesting; Business and Economics;

   Abstract : Cryptocurrencies are highly volatile and risky assets, therefore, it is of vital importance to find an appropriate model for risk measurement. This thesis compares three parametric and three non-parametric estimation methods to estimate the value at risk and the expected shortfall of five cryptocurrencies, namely Bitcoin (BTC), Ethereum (ETH), Binance coin (BNB), Ripple coin (XRP), and Cardano (ADA). READ MORE

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

   University essay from Lunds universitet/Nationalekonomiska institutionen

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

   Abstract : 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. READ MORE

6. 5. The astronomical consequences of primordial black holes

   University essay from Lunds universitet/Astronomi - Genomgår omorganisation

   Author : Loke Lönnblad Ohlin; [2019]
   Keywords : Physics and Astronomy;

   Abstract : In the radiation or early matter dominated eras of the Universe, there is a theoretical possibility for the formation of black holes (BHs). These primordial black holes (PBHs) have been thought of as a possible candidate for dark matter (DM), and an attractive one at that as it would explain DM using only baryonic physics. READ MORE