Essays about: "GARCH."
Showing result 11 - 15 of 348 essays containing the word GARCH..
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11. Into the Trading Book: Estimating Expected Shortfall
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : In light of the revised 2019 proposals constituting the Fundamental Review of the Trading Book, which amend the third Basel Accord, expected shortfall is set to replace value at risk as the risk measure dictating banks' capital reserving requirements for exposure to market risk. This paper examines how best to accurately estimate expected shortfall from a regulatory perspective by carrying out an array of non-parametric as well as parametric methods over the recent years of financial instability. READ MORE
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12. Modelling Risk in Real-Life Multi-Asset Portfolios
University essay from KTH/Matematik (Avd.)Abstract : We develop a risk factor model based on data from a large number of portfolios spanning multiple asset classes. The risk factors are selected based on economic theory through an analysis of the asset holdings, as well as statistical tests. READ MORE
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13. Empirical Analysis of Joint Quantile and Expected Shortfall Regression Backtests
University essay from Uppsala universitet/Sannolikhetsteori och kombinatorikAbstract : In this work, we look into the practical applicability of three joint quantile and expected shortfall regression backtests. The strict, auxiliary, and intercept ESR backtests are applied to the historical log returns of the OMX Stockholm 30 market-weight price index. READ MORE
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14. Wind Power and Electricity Price Dynamics : An Empirical Analysis on the Swedish Day-Ahead Market
University essay from Umeå universitet/NationalekonomiAbstract : Facing large-scale electrification, Swedish electricity markets are projected to undergo fundamental changes over the next decades. With climate protection goals in mind, wind-powered electricity will play a crucial role in supplying tomorrow’s electricity to Swedish households and industry. READ MORE
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15. Copula approach to fitting bivariate time series
University essay from Lunds universitet/Matematisk statistikAbstract : We apply the GARCH-copula method to estimate Value at Risk (VaR) for European and Stockholm stock indices. First, marginal distributions are estimated by the ARMA-GARCH model with normal, Student-t, and skewed t distributions. READ MORE