Essays about: "Henrik Askvik"

Found 1 essay containing the words Henrik Askvik.

  1. 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 Statistics

    Author : Cristoffer Vallenå; Henrik Askvik; [2014]
    Keywords : Risk management; Value-at-Risk; VaR; Fat-tails; Backtesting; GARCH;

    Abstract : 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