Essays about: "non-parametric VaR"

Showing result 1 - 5 of 29 essays containing the words non-parametric VaR.

  1. 1. Sustainability performance and market risk. A study of the banking sector

    University essay from Umeå universitet/Företagsekonomi

    Author : Arvid Särkiniemi; Oskar Lindman; [2023]
    Keywords : risk; market risk; sustainability performance; corporate management; bank management; CSR; panel data; parametric VaR; non-parametric VaR; CVaR; VaR; Historical simulation; bank sector; the financial sector; ESG; financial performance.;

    Abstract : The financial crisis of 2007-2008 highlighted the societal impacts of bank risk-taking. A strong focus on maximizing profits for shareholders combined with a disregard for, and  underestimation of risks led to the downfall of large banks such as Lehman Brothers and multiple other banks getting bailed out by several governments and other banks. READ MORE

  3. 2. Exploring the Feasibility of Replicating SPAN-Model's Required Initial Margin Calculations using Machine Learning : A Master Thesis Project for Intraday Margin Call Investigation in the Commodities Market

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

    Author : Clara Branestam; Amanda Sandgren; [2023]
    Keywords : Machine Learning; Market Risk; Initial Margin; SPAN-model; Central Counterparty Clearing; Margin Call;

    Abstract : Machine learning is a rapidly growing field within artificial intelligence that an increasing number of individuals and corporations are beginning to utilize. In recent times, the financial sector has also started to recognize the potential of these techniques and methods. READ MORE

  4. 3. Breaking the Time Preference : A study of home delivery

    University essay from Blekinge Tekniska Högskola/Institutionen för industriell ekonomi

    Author : Gustav Alvinsson; [2022]
    Keywords : Time preference; last-mile delivery; consumer preference; Tidspreferens; last-mile delivery; frakt; fraktpreferens; konsumentpreferenser;

    Abstract : Bakgrund. E-handel ökar ständigt, och med det även frakt av ehandelsvaror. Frakten som skrivs om i den här studien syftar till den frakt som sker mellan en återförsäljare och en slutkonsument. Denna är i texten kallad last-mile delivery. READ MORE

  5. 4. Effects of heart rate-based exercise group training on cardiorespiratory capacity, body composition and self- reported depression among adolescents with mild to moderate depression - a 12 week randomized intervention

    University essay from Högskolan i Halmstad/Akademin för företagande, innovation och hållbarhet

    Author : Lizette Fransholm; [2022]
    Keywords : ;

    Abstract : Background: Physical activity (PA) brings several health benefits on different levels in the body. Many adolescents do not reach the daily recommendations for PA leading to negative health consequences, both physiological and psychological, eg. depression. PA has been shown to prevent depression and can be used as part of the treatment. READ MORE

  6. 5. 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