Essays about: "Christoffersen’s test"

Found 2 essays containing the words Christoffersen’s test.

1. 1. 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

3. 2. Parametric Estimation of Value at Risk

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Lisa Wimmerstedt; [2013]
   Keywords : Value at Risk; Parametric methods; Risk management; Volatility models; Basle capital charges;

   Abstract : Previous research has shown that the non-parametric Value at Risk methods normally used by financial institutions are conservative and that violations often happen in clusters. While earlier research has found efficiency gains from using parametric methods over non-parametric methods, a majority of the studies have been carried out on equity indices. READ MORE