Essays about: "Askar Nyssanov"

Found 1 essay containing the words Askar Nyssanov.

  1. 1. An empirical study in risk management: estimation of Value at Risk with GARCH family models

    University essay from Statistiska institutionen

    Author : Askar Nyssanov; [2013]
    Keywords : Value at Risk; univariate and multivariate GARCH models; classical VaR approaches; evaluation tests;

    Abstract : In this paper the performance of classical approaches and GARCH family models are evaluated and compared in estimation one-step-ahead VaR. The classical VaR methodology includes historical simulation (HS), RiskMetrics, and unconditional approaches. READ MORE