Essays about: "Volatility weighted historical simulation VWHS"

Showing result 1 - 5 of 9 essays containing the words Volatility weighted historical simulation VWHS.

  1. 1. Risk measurement of cryptocurrencies using value at risk and expected shortfall

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Van Cao Thi Hong; [2022]
    Keywords : cryptocurrencies; value at risk; expected shortfall; risk measurement; parametric methods; non-parametric methods; EWMA; GARCH; EGARCH; GJRGARCH; backtesting; Business and Economics;

    Abstract : Cryptocurrencies are highly volatile and risky assets, therefore, it is of vital importance to find an appropriate model for risk measurement. This thesis compares three parametric and three non-parametric estimation methods to estimate the value at risk and the expected shortfall of five cryptocurrencies, namely Bitcoin (BTC), Ethereum (ETH), Binance coin (BNB), Ripple coin (XRP), and Cardano (ADA). READ MORE

  3. 2. Forecasting Value-at-Risk using GARCH(1,1) and Neural Networks as Volatility Estimation Methods – A Comparative Study

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Signe Grönberg; Sofia Nilsson; [2022]
    Keywords : ;

    Abstract : Northvolt was founded in 2015 with the goal to create the world's greenest battery. Today, Northvolt is mainly funded by investors and have suppliers all over the world, which does not come risk free. READ MORE

  4. 3. Evaluating VaR and ES for commodities - both conventionally and with neural networks

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : David Fang; Måns Eile; [2020]
    Keywords : Value-at-Risk; Expected Shortfall; Commodities; GARCH 1; 1 ; ANN; LSTM; Volatility forecasting; VWHS; Business and Economics;

    Abstract : As commodities are becoming more popular and accessible assets for speculative and hedging purposes, the limited research regarding risk management for said asset-class justifies further contribution to the deficient output. Many previous studies have highlighted the extraordinary high volatility, with non-linear and clustering characteristics associated with commodities. READ MORE

  5. 4. An Empirical Study: Expected Shortfall Estimation Methods for a Bank's Trading Book

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Laura Emina Ludolphy; Emilia Johansson; [2020]
    Keywords : Expected Shortfall; Trading Book; Student’s t-distribution; GARCH 1; 1 ; Volatility Weighted Historical Simulation; Business and Economics;

    Abstract : This thesis investigates methods that estimate the Expected Shortfall correctly by passing the Acerbi-Szekely (2014) backtest in both stressed and calm periods. This backtest is added to in this thesis to test against both under- and overestimation of ES. READ MORE

  6. 5. Managing Risk with Energy Commodities using Value-at-Risk and Extreme Value Theory

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Alexander Noshkov; Zafer Demirtas; [2017]
    Keywords : Energy Commodities; Value-at-Risk VaR ; Extreme Value Theory EVT ; Peaks over Threshold POT ; Volatility Weighted Historical Simulation VWHS ; GARCH; EGARCH; TGARCH; Business and Economics;

    Abstract : Today’s society requires an endless supply of energy resources to keep functioning properly. The fluctuations in the prices of energy commodities are always a concern as it affects not only investors, but regular households as well. READ MORE