Essays about: "Generalized Hyperbolic distribution"

Found 4 essays containing the words Generalized Hyperbolic distribution.

1. 1. Analysis of spatial subdomains in the Generalized Weighted Residual Method : Optimization of the distribution of spatial subdomains in one spatial dimension

   University essay from

   Author : Andreas Gillgren; [2017]
   Keywords : ;

   Abstract : The Generalized Weighted Residual Method (GWRM) is a recently developed time- spectral method for parabolic or hyperbolic initial-value partial differential equations. In this paper, spatial subdomains, used in this method, are analyzed. READ MORE

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

   University essay from Högskolan i Jönköping/IHH, Economics, Finance and Statistics

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

   Abstract : 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. READ MORE

4. 3. Cornish-Fisher Expansion and Value-at-Risk method in application to risk management of large portfolios

   University essay from Tillämpad matematik och fysik (MPE-lab)

   Author : Maria Sjöstrand; Özlem Aktaş; [2011]
   Keywords : Financial Mathematics; Value-at-Risk; Expected Shortfall; Cornish-Fisher Expansion; Gaussian distribution; Generalized Hyperbolic distribution;

   Abstract : One of the major problem faced by banks is how to manage the risk exposure in large portfolios. According to Basel II regulation banks has to measure the risk using Value-at-Risk with confidence level 99%. However, this regulation does not specify the way to calculate Valueat- Risk. READ MORE

5. 4. Risk Management based on GARCH and Non-parametric stochastic volatility models and some cases of Generalized Hyperbolic distribution

   University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)

   Author : Askerbi Midov; Konstantin Balashov; [2008]
   Keywords : Risk management; Value-at-Risk;

   Abstract : The paper is devoted to the modern methods of Value-at-Risk calculation using different cases of Generalized Hyperbolic distribution and models for predicting volatility. In our research we use GARCH-M and Non-parametric volatility models and compare Value-at-Risk calculation depending on the distribution that is used. READ MORE