Essays about: "Sebastian Recht"

Found 1 essay containing the words Sebastian Recht.

  1. 1. A comparative study of VaR models

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Sebastian Recht; Kaifeng Wang; [2012]
    Keywords : Christoffersen frequency test; Extreme value theory; Market capitalization; Historical simulation; Value at Risk; Business and Economics;

    Abstract : In this paper, we investigate the predictive performance of eight common Value at Risk (VaR) estimation methods with the daily data of OMX Stockholm 30 and FTSE 100 indexes. These methods include non-parametric, parametric as well as Extreme Value Theory approaches whose daily and 10-day estimates are then evaluated using the Christoffersen frequency test. READ MORE