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Found 4 essays matching the above criteria.

  1. 1. CAViaR and Cross-sectional quantile regression models to assess risk in S&P500 sectors

    University essay from Göteborgs universitet/Graduate School

    Author : Vladyslava Bab’yak; [2023-06-29]
    Keywords : Value-at-Risk; CAViaR; cross-sectional quantile regression; ; risk;

    Abstract : The aim of this thesis is to investigate the performance of different models used in risk management to identify and control risks that may negatively impact company operations due to unpredictable events. More specifically, the object of this paper is the discussion of a cross-sectional quantile regression model (CSQR) and the CAViaR model, which is a time series quantile regression model. READ MORE

  3. 2. Value at Risk estimation : A comparison between different models

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Mathias Mattsson; [2021]
    Keywords : CAViaR; GARCH; Value at Risk; Backtesting;

    Abstract : In this thesis the performance of the quantile based CAV iaR models is evaluated and compared with GARCH models for predicting the Value at Risk. This is done by one step ahead out of sample prediction. The one step ahead out of sample prediction is done for the 500 observations at the end of the sample. READ MORE

  4. 3. Evaluation of Various Approaches to Value at Risk

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Henning Schmidt; Matej Duda; [2009]
    Keywords : GARCH; VaR; CAViaR; market risk measuring; coverage probability; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

    Abstract : In the light of the current financial crisis, risk management and prediction of market losses seem to play a crucial role in finance. This thesis compares one day out-of-sample predictive performance of standard methods and conditional autoregressive VaR (CAViaR) by Engle & Manganelli (2004) for VaR (Value-at-risk) prediction of market losses. READ MORE

  5. 4. A Study on wild rat behaviour and control on a pig farm

    University essay from SLU/Dept. of Clinical Sciences

    Author : Olumide Abimbola Akande; [2008]
    Keywords : Wild brown rats; activity; pig pens; bait; radio tracking; control;

    Abstract : Wild rodents are known to be carriers of pathogenic organisms that affect both humans and domestic animals. In this study, two rats were followed by radio tracking for an aggregate period of 24 hours each to determine their territories, path preferences and activity levels. READ MORE