Essays about: "generalized hyperbolic distributions"

Found 2 essays containing the words generalized hyperbolic distributions.

1. 1. An Analysis of Markov Regime-Switching Models for Weather Derivative Pricing

   University essay from Linköpings universitet/Tillämpad matematik; Linköpings universitet/Tekniska fakulteten

   Author : Fredrik Gerdin Börjesson; [2021]
   Keywords : Weather derivatives; temperature modeling; Markov switching models; Lévy processes; expectation-maximization algorithm; generalized hyperbolic distributions; Monte Carlo simulation;

   Abstract : The valuation of weather derivatives is greatly dependent on accurate modeling and forecasting of the underlying temperature indices. The complexity and uncertainty in such modeling has led to several temperature processes being developed for the Monte Carlo simulation of daily average temperatures. READ MORE

3. 2. Performance of fat-tailed Value-at-risk : A comparison using backtesting on the OMXS30

   University essay from Högskolan i Jönköping/IHH, Economics, Finance and Statistics

   Author : Cristoffer Vallenå; Henrik Askvik; [2014]
   Keywords : Risk management; Value-at-Risk; VaR; Fat-tails; Backtesting; GARCH;

   Abstract : The aim of this thesis is to test if the application of fat tailed distributions in value-at-risk models is of better use for risk managers than the Normal distribution. Value-at-risk is a regulatory tool used in Basel regulations. Basel II and III regulate capital required by banks according to value-at-risk backtest results. READ MORE