Essays about: "Birgir Vidarsson"

Found 1 essay containing the words Birgir Vidarsson.

  1. 1. VaR methods for linear instruments

    University essay from Lunds universitet/Riskhantering (CI); Lunds universitet/Avdelningen för Brandteknik; Lunds universitet/Avdelningen för Riskhantering och Samhällssäkerhet

    Author : Birgir Vidarsson; [2008]
    Keywords : VaR; Covariance; GARCH; EWMA; Market risk; Financial science; Financial time series; Volatility; Finansiering; Technological sciences; Teknik; Business and Economics; Technology and Engineering;

    Abstract : In this thesis various Value-at-Risk models are compared and evaluated towards finding the optimal model for the bank's trading book. The focus is on linear instruments (stocks, indicies and currency) and real market data, both domestic and foreign, is used for the calculations. READ MORE