Essays about: "Value-at-Risk"
Showing result 16 - 20 of 242 essays containing the word Value-at-Risk.
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16. Empirical Analysis of Joint Quantile and Expected Shortfall Regression Backtests
University essay from Uppsala universitet/Sannolikhetsteori och kombinatorikAbstract : In this work, we look into the practical applicability of three joint quantile and expected shortfall regression backtests. The strict, auxiliary, and intercept ESR backtests are applied to the historical log returns of the OMX Stockholm 30 market-weight price index. READ MORE
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17. An Investigation and Comparison of Machine Learning Methods for Selecting Stressed Value-at-Risk Scenarios
University essay from Uppsala universitet/Avdelningen för systemteknikAbstract : Stressed Value-at-Risk (VaR) is a statistic used to measure an entity's exposure to market risk by evaluating possible extreme portfolio losses. Stressed VaR scenarios can be used as a metric to describe the state of the financial market and can be used to detect and counter procyclicality by allowing central clearing counterparities (CCP) to increase margin requirements. READ MORE
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18. Copula approach to fitting bivariate time series
University essay from Lunds universitet/Matematisk statistikAbstract : We apply the GARCH-copula method to estimate Value at Risk (VaR) for European and Stockholm stock indices. First, marginal distributions are estimated by the ARMA-GARCH model with normal, Student-t, and skewed t distributions. READ MORE
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19. Generating Extreme Value Distributions in Finance using Generative Adversarial Networks
University essay from KTH/Matematik (Avd.)Abstract : This thesis aims to develop a new model for stress-testing financial portfolios using Extreme Value Theory (EVT) and General Adversarial Networks (GANs). The current practice of risk management relies on mathematical or historical models, such as Value-at-Risk and expected shortfall. READ MORE
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20. Portfolio Optimization: The search for an optimal portfolio with cryptocurrencies and S&P 500
University essay fromAbstract : This thesis’ aim is to create an optimal portfolio consisting of Bitcoin, Ethereum and S&P 500. We also examine the minimum variance portfolio with the framework of Markowitz's mean variance optimization model. READ MORE