Essays about: "Maria Sjöstrand"

Found 1 essay containing the words Maria Sjöstrand.

  1. 1. Cornish-Fisher Expansion and Value-at-Risk method in application to risk management of large portfolios

    University essay from Tillämpad matematik och fysik (MPE-lab)

    Author : Maria Sjöstrand; Özlem Aktaş; [2011]
    Keywords : Financial Mathematics; Value-at-Risk; Expected Shortfall; Cornish-Fisher Expansion; Gaussian distribution; Generalized Hyperbolic distribution;

    Abstract : One of the major problem faced by banks is how to manage the risk exposure in large portfolios. According to Basel II regulation banks has to measure the risk using Value-at-Risk with confidence level 99%. However, this regulation does not specify the way to calculate Valueat- Risk. READ MORE