Essays about: "Christian Vogl"

Found 2 essays containing the words Christian Vogl.

1. 1. An Empirical Analysis of the Influence of Jump Dynamics on Value-at-Risk Estimation

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Christian Vogl; [2016]
   Keywords : GARJI; Autoregressive Conditional Jump Intensity; Leptokurtic GARCH models; VaR; Backtesting; Business and Economics;

   Abstract : Abstract Recent financial crises have demonstrated the importance of accurately measuring financial risks in order to be able to employ mitigating risk policies. This essay investigates the question whether a GARCH model augmented by an autoregressive conditional jump intensity component can improve value-at-risk forecasts in comparison to common GARCH models. READ MORE

3. 2. Systemic risk measurement in the Eurozone - A multivariate GARCH estimation of CoVaR

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Christian Vogl; [2015]
   Keywords : DCC model; Multivariate GARCH; CoVaR; Systemic risk; Business and Economics;

   Abstract : In this essay the systemic risk contributions of financial institutions in the European Monetary Union are analyzed. For this purpose the CoVaR measure, first introduced by Adrian and Brunnermeier (2011), is applied. READ MORE