Essays about: "RiskMetrics"

Showing result 6 - 6 of 6 essays containing the word RiskMetrics.

1. 6. Star Vars: Finding the optimal Value-at-Risk approach for the banking industry

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Björn Eriksson; Olle Billinger; [2009]
   Keywords : Value-at-Risk; VaR; risk management; Backtesting; Basel; Economics; econometrics; economic theory; economic systems; economic policy; Nationalekonomi; ekonometri; ekonomisk teori; ekonomiska system; ekonomisk politik; Business and Economics;

   Abstract : This paper explores the concept of Value-at-Risk (VaR) through a comparative study of nonparametric and parametric models in order to find the best risk model for banks’ trading portfolios. The non-parametric methods consist of three different approaches: Simple Historical Simulation, Age Weighted Historical Simulation and Volatility Weighted Historical Simulation by means of the EWMA and GARCH models for forecasting volatility. READ MORE