Essays about: "Dennis Lindholm"

Found 2 essays containing the words Dennis Lindholm.

  1. 1. On Value-at-Risk and the more extreme : A study on quantitative market risk measurements

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Dennis Lindholm; [2015]
    Keywords : Expected shortfall; EVT; RiskMetrics; GARCH; Value-at-Risk; Basel;

    Abstract : Inline with the third pillar of the Basel accords, quantitative market risk measurements are investigate and evaluated comparing JP Morgan’s RiskMetrics and Bollerslev’s GARCH with the Peek over Threshold and Block Maxima approaches from the Extreme Value Theory framework. Value-at-Risk and Expected Shortfall (Conditional Value-at-Risk), with 95% and 99% confidence, is predicted for 25 years of the OMXS30. READ MORE

  3. 2. Examining GARCH forecasts for Value-at-Risk predictions

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Dennis Lindholm; Adam Östblom; [2014]
    Keywords : Value-at-Risk; Unconditional coverage; Christoffersen’s; GJR-GARCH;

    Abstract : In this thesis we use the GARCH(1,1) and GJR-GARCH(1,1) models to estimate the conditional variance for five equities from the OMX Nasdaq Stockholm (OMXS) stock exchange. We predict 95% and 99% Value-at-Risk (VaR) using one-day ahead forecasts, under three different error distribution assumptions, the Normal, Student’s t and the General Error Distribution. READ MORE