Essays about: "FHS VaR"

Showing result 1 - 5 of 6 essays containing the words FHS VaR.

  1. 1. The Calibrated SSVI Method - Implied Volatility Surface Construction

    University essay from KTH/Matematisk statistik

    Author : Adam Öhman; [2019]
    Keywords : Implied; Volatility; Surface; Construction; SVI; SSVI; eSSVI; Stochastic Volatility Inspired; calibrated SSVI; modelling; arbitrage; interpolation; extrapolation; FHS VaR; derivatives; CCP; clearing; Implicit; Volatilitet; Ytor; Option; SVI; SSVI; eSSVI; kalibrerade SSVI; arbitrage; modellering; finans; matematik;

    Abstract : In this thesis will the question of how to construct implied volatility surfaces in a robust and arbitrage free way be investigated. To be able to know if the solutions are arbitrage free was an initial investigation about arbitrage in volatility surfaces made. From this investigation where two comprehensive theorems found. READ MORE

  3. 2. On the use of Value-at-Risk based models for the Fixed Income market as a risk measure for Central Counterparty clearing

    University essay from KTH/Matematisk statistik

    Author : Oskar Kallur; [2016]
    Keywords : ;

    Abstract : In this thesis the use of VaR based models are investigated for the purpose of setting margin requirements for Fixed Income portfolios. VaR based models has become one of the standard ways for Central Counterparties to determine the margin requirements for different types of portfolios. READ MORE

  4. 3. New Threats for the European Union and their Effects on Sweden’s and Austria’s Basic Officer Education : a comparative Approach

    University essay from Försvarshögskolan

    Author : Måns Svensson; [2014]
    Keywords : Europe; European Union; EU; European Security Strategy; ESS; Basic Officer Education; BOE; threats; strategy; military strategy.; Europa; Europeiska Unionen; EU; europeiska säkerhetsstrategin; ESS; grundläggande officersutbildning; BOE; hot; strategi; militärstrategi.;

    Abstract : During the Cold War, the largest threat against the countries of Europe was an enemy attack or invasion. After the end of the Cold War, the strategic environment changed drastically. The impending threat of a large-scale war was gone and the countries of Europe approached each other in the hope of cooperation with mutual benefits. READ MORE

  5. 4. Volatility forecasting in the Swedish hedge fund market : A comparison of downside-risk between Swedish hedge funds and the index S&P Europe 350

    University essay from IHH, Economics, Finance and Statistics

    Author : Donald Harding; [2012]
    Keywords : Hedge Fund; Value-at-Risk; GARCH; EGARCH; Filtered Historical Simulation; Equity L S; VaR; FHS VaR;

    Abstract : The purpose of this thesis is to examine whether Swedish Equity L/S hedge funds present a lower market risk than the index S&P Europe 350 over our holding period using a GARCH/EGARCH Value-at-Risk model. The sample consists of 96 monthly observa- tions between March 2004 and February 2012. READ MORE

  6. 5. Operation Tonga : En studie av förberedelsernas och förövningens betydelse utifrån de grundläggande förmågorna och de taktiska grundprinciperna

    University essay from Försvarshögskolan

    Author : Fredrik Melz; [2009]
    Keywords : Preparations; Operations Tonga; basic abilities; principals of ground tactics; Förberedelser; Operation Tonga; grundläggande förmågor; taktiska grundprinciper;

    Abstract : Operation Tonga var en del av de allierades invasion av Hitlers Fort Europa. Syftet med operationen var att skydda de landstigande styrkorna vid Normandies östra flank. Operationen genomfördes av major John Howard och hans glidflygplansburna trupper från Oxford and Buckinghamshires lätta infanteriregemente. READ MORE