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Found 1 essay matching the above criteria.

1. 1. Evaluation of Value-at-Risk Models During Volatility Clustering

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Medjit Yalmaz Kadir; [2014]
   Keywords : EWMA; VaR; VWHS; AWHS; Value-at-Risk; Business and Economics;

   Abstract : In the light of the financial crisis of 2008, risk management has become one of the most important topics in the financial world. This study applies five different VaR approaches, normal distribution, student’s t distribution, historical simulation, age weighted historical simulation and volatility weighted historical simulation under three different sample windows. READ MORE