Essays about: "AWHS"

Found 4 essays containing the word AWHS.

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. 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

4. 3. Evaluation of Value-at-Risk Models During Volatility Clustering

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Medjit Yalmaz Kadir; [2014]
   Keywords : EWMA; VaR; VWHS; AWHS; Value-at-Risk; Business and Economics;

   Abstract : In the light of the financial crisis of 2008, risk management has become one of the most important topics in the financial world. This study applies five different VaR approaches, normal distribution, student’s t distribution, historical simulation, age weighted historical simulation and volatility weighted historical simulation under three different sample windows. READ MORE

5. 4. Measuring Risk for WTI Crude Oil - An application of Value-at-Risk

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Alexander Eriksson; Jonathan Ljungqvist; [2014]
   Keywords : Market Risk; VaR; Crude oil; Forecasting; Business and Economics;

   Abstract : Crude oil is the most traded energy commodity in the world, and its price has a large impact on the everyday life of billions. Given the volatility of crude oil prices and its enormous effects on economies worldwide, there has been a growing demand for risk quantification and risk management for the market participants. READ MORE