Essays about: "age weighted historical simulation"

Showing result 6 - 10 of 10 essays containing the words age weighted historical simulation.

1. 6. Market risk in volatile times: a comparison of methods for calculating Value at Risk

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Cecilia Fransson; Behnaz Alimohammadisagvand; [2011]
   Keywords : Value at Risk; extreme value theory; volatility weighted historical simulation; age weighted historical simulation; t distribution; Business and Economics;

   Abstract : Three standard approaches of finding Value at Risk; age weighted historical simulation, volatility weighted historical simulation and t – distribution were compared with Value –at – Risk calculated using generalized extreme value theory during the period 2000 to 2010 to see which approach that would give the most accurate forecast of actual losses during the two volatile times within the time frame. One important aspect was also to see if the results would differ depending on the holding period and quantile used. READ MORE

3. 7. VaR for a portfolio of Swedish Index-bonds - An empiricial evaluation

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Magnus Johansson; [2011]
   Keywords : Value-at-Risk; Conditional Autoregressive Value-at-Risk; Age-weighted historical simulation; Volatility-weighted historical simulation; GARCH 1; 1 ; Normal distribution; Student’s t-distribution; Christoffersen’s test; Business and Economics;

   Abstract : Purpose: The purpose of this paper is to empirically evaluate the performance of seven different methods that are used when estimating Value-at-Risk for a portfolio of Swedish index-bonds with different maturities. As a supplementary objective, the paper tries to determine the history that one needs to account for when calculating VaR. READ MORE

4. 8. Expected Shortfall as a Complement to Value at Risk - A study applied to commodities

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Filippa Gerstädt; Maria Olander; [2010]
   Keywords : Value at Risk; Expected Shortfall; nine approaches; backtesting; Business and Economics;

   Abstract : Basel II requires Value at Risk (VaR) as a standardized risk measure for calculating market risk. However, the validity of the risk measure has been questioned since it neglects the losses beyond the VaR level. Expected Shortfall (ES) is a response to this limitation, as it is defined as the average of the losses ignored by VaR. READ MORE

5. 9. An Expected Loss Analysis of the ISEQ 20 Stock Index

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Byron Fry; [2010]
   Keywords : Index; Expected Loss; Value at Risk; VaR; Ireland; ISEQ 20; volatility; Business and Economics;

   Abstract : Ireland is considered to have been one of the worst affected economies during the latest financial crisis. As a result, there is continuing uncertainty as to the potential losses that one could incur on Ireland’s ISEQ 20 stock index. READ MORE

6. 10. 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