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Showing result 1 - 5 of 6 essays matching the above criteria.

  1. 1. Are GARCH models necessary for Expected Shortfall?

    University essay from Lunds universitet/Statistiska institutionen

    Author : Erik Berggren; [2017]
    Keywords : Forecasting; Backtesting; Value at Risk; Expected Shortfall; GARCH models; Mathematics and Statistics;

    Abstract : Following the Basel Committee on Banking Supervision’s decision to move from Value at Risk to Expected Shortfall, risk managers will have to alter their methods for reporting risk. This paper sheds light on the question of which volatility models and distributional assumptions that works best for this new method of risk measurement by evaluating forecasts for the Swedish index OMXS30. READ MORE

  3. 2. On Value-at-Risk and the more extreme : A study on quantitative market risk measurements

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Dennis Lindholm; [2015]
    Keywords : Expected shortfall; EVT; RiskMetrics; GARCH; Value-at-Risk; Basel;

    Abstract : Inline with the third pillar of the Basel accords, quantitative market risk measurements are investigate and evaluated comparing JP Morgan’s RiskMetrics and Bollerslev’s GARCH with the Peek over Threshold and Block Maxima approaches from the Extreme Value Theory framework. Value-at-Risk and Expected Shortfall (Conditional Value-at-Risk), with 95% and 99% confidence, is predicted for 25 years of the OMXS30. READ MORE

  4. 3. An empirical study in risk management: estimation of Value at Risk with GARCH family models

    University essay from Statistiska institutionen

    Author : Askar Nyssanov; [2013]
    Keywords : Value at Risk; univariate and multivariate GARCH models; classical VaR approaches; evaluation tests;

    Abstract : In this paper the performance of classical approaches and GARCH family models are evaluated and compared in estimation one-step-ahead VaR. The classical VaR methodology includes historical simulation (HS), RiskMetrics, and unconditional approaches. READ MORE

  5. 4. Parametric Estimation of Value at Risk

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Lisa Wimmerstedt; [2013]
    Keywords : Value at Risk; Parametric methods; Risk management; Volatility models; Basle capital charges;

    Abstract : Previous research has shown that the non-parametric Value at Risk methods normally used by financial institutions are conservative and that violations often happen in clusters. While earlier research has found efficiency gains from using parametric methods over non-parametric methods, a majority of the studies have been carried out on equity indices. READ MORE

  6. 5. An Analysis of Asynchronous Data

    University essay from KTH/Matematisk statistik

    Author : Kim Chatall; Niklas Johansson; [2013]
    Keywords : ;

    Abstract : Risk analysis and financial decision making requires true and appropriate estimates of correlations today and how they are expected to evolve in the future. If a portfolio consists of assets traded in markets with different trading hours, there could potentially occur an underestimation of the right correlation. READ MORE