Essays about: "Filtered Historical Simulation"
Showing result 1 - 5 of 11 essays containing the words Filtered Historical Simulation.
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1. Artificial Value-at-Risk : Using Neural Networks to Replicate Filtered Historical Simulation for Value-at-Risk Calculations
University essay from Umeå universitet/Institutionen för matematik och matematisk statistikAbstract : Since financial markets are considered risky, there is a need to have credible tools that can estimate these risks. For a Central Clearing Counterparty it is of utmost importance to conduct accurate estimations of its members’ risk exposures to deter-mine their margin requirements. READ MORE
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2. An Empirical Study: Expected Shortfall Estimation Methods for a Bank's Trading Book
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This thesis investigates methods that estimate the Expected Shortfall correctly by passing the Acerbi-Szekely (2014) backtest in both stressed and calm periods. This backtest is added to in this thesis to test against both under- and overestimation of ES. READ MORE
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3. Hierarchical clustering of market risk models
University essay from KTH/Matematisk statistikAbstract : This thesis aims to discern what factors and assumptions are the most important in market risk modeling through examining a broad range of models, for different risk measures (VaR0.01, S0:01 and ES0:025) and using hierarchical clustering to identify similarities and dissimilarities between the models. READ MORE
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4. 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 statistikAbstract : 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
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5. Quantifying market risk : - An evaluation of VaR methodologies in the banking sector
University essay from Umeå universitet/NationalekonomiAbstract : In this study some of the most commonly used methods by banks whenestimating the Value-at-risk (VaR) is evaluated. To find the best models forestimating the VaR, the performance of these methods is assessed on the basisof Kupiec’s unconditional coverage test of statistical accuracy. READ MORE
