Essays about: "Risk Expected shortfall VaR Backtesting Crude oil"

Found 2 essays containing the words Risk Expected shortfall VaR Backtesting Crude oil.

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. Measuring Risk for WTI Crude Oil: An application of Parametric Expected Shortfall

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Alexander Eriksson; [2015]
   Keywords : Risk Expected shortfall VaR Backtesting Crude oil; Business and Economics;

   Abstract : Oil is the most traded commodity in the world and is an important part in the global economy. The change in the price of oil has an effect on all sectors of the economy, and the ability to capture its risk is an important research topic. READ MORE