Essays about: "Victor Guter"

Found 1 essay containing the words Victor Guter.

  1. 1. Electricity as a Risk Bearing Asset from a Portfolio Perspective, Studied Through the Concept of Value at Risk with a Time Varying Correlation Approach

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Jacqueline Af Ugglas; Victor Guter; [2014]
    Keywords : Value at Risk; DCC; Electricity; Risk Bearing Assets; Variance; Correlation; Mathematics and Statistics;

    Abstract : The purpose of this thesis is to examine if, from a portfolio perspective, the Value at Risk decreases when electricity is included as an asset to a portfolio of risk bearing assets and if this could have an impact on risk hedging strategies. The portfolio standard deviation used to calculate the Value at Risk is based on a Dynamic Conditional Correlation approach providing a time dependent correlation. READ MORE