Essays about: "Historical Simulation HS"
Showing result 1 - 5 of 10 essays containing the words Historical Simulation HS.
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1. 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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2. Practical estimation of Value at Risk and Expected Shortfall: Are complex methods really necessary?
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This paper tests the parametric estimation method for Value at Risk and Expected Shortfall estimation together with the historical simulation method to find out if the historical simulation could yield accurate enough estimations in stormy and calm periods. Given that the parametric estimation proved superior, the thesis examines which volatility forecasting models, using which distribution assumptions, would yield the best estimations. READ MORE
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3. Measuring Risk with Expected Shortfall
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : In 2012, The Basel Committee on Banking Supervision decided to change the standard risk measure from the well-known Value-at-Risk (VaR) to Expected Shortfal (ES). The committee believes that the new standard risk measure could offer more benefit, aside from just overcoming the major weaknesses of VaR like incoherency and inability to capture tail risk. READ MORE
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4. Managing clearinghouse risk for NDF cleared contracts : Validating the HS/VaR method for NDF FX CCP Clearing risk
University essay from KTH/Matematisk statistikAbstract : In this thesis we describe and discuss the reality for a central clearing party clearinghouse. The importance of sound risk management is discussed. We specifically validate the usage of a Historical Simulation/VaR approach for managing the risk when acting as a CCP for the Non Delivery Forward FX instrument. READ MORE
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5. Reality Check for the Value-at-Risk Estimates of the Energy Commodities
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : The fluctuations of the price in the energy market affect the households, firms and the government intuitions. We can perceive the information of the energy market from daily economic news. The entire society is concerned for the events that affect the energy market and the changing prices of the energy resources. READ MORE
