Essays about: "Henrik Askvik"
Found 1 essay containing the words Henrik Askvik.
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1. Performance of fat-tailed Value-at-risk : A comparison using backtesting on the OMXS30
University essay from Högskolan i Jönköping/IHH, Economics, Finance and StatisticsAbstract : The aim of this thesis is to test if the application of fat tailed distributions in value-at-risk models is of better use for risk managers than the Normal distribution. Value-at-risk is a regulatory tool used in Basel regulations. Basel II and III regulate capital required by banks according to value-at-risk backtest results. READ MORE
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