Essays about: "Konstantin Balashov"

Found 1 essay containing the words Konstantin Balashov.

  1. 1. Risk Management based on GARCH and Non-parametric stochastic volatility models and some cases of Generalized Hyperbolic distribution

    University essay from Sektionen för Informationsvetenskap, Data– och Elektroteknik (IDE)

    Author : Askerbi Midov; Konstantin Balashov; [2008]
    Keywords : Risk management; Value-at-Risk;

    Abstract : The paper is devoted to the modern methods of Value-at-Risk calculation using different cases of Generalized Hyperbolic distribution and models for predicting volatility. In our research we use GARCH-M and Non-parametric volatility models and compare Value-at-Risk calculation depending on the distribution that is used. READ MORE