bachelor thesis value at risk



Most firm managers have heard of Value at Risk (VaR) and Cash Flow at Risk (CFaR). But some small firm managers may not know how to calculate those measures of risk while measuring firms risk is becoming more important in current economic markets. This can lead to situations where companies face more risk than
Technische Universität München. Department of Mathematics. Bachelor's Thesis. Value-at-Risk Estimation in the Basel III Framework. Johanna Mager. Supervisor: Prof. Dr. Claudia Klüppelberg. Advisor: Prof. Dr. Claudia Klüppelberg. Submission Date: 2012-09-01
27.05.2013 -
Lund University. Department of Economics. Bachelor thesis. Practical estimation of Value at Risk and. Expected Shortfall: Are complex methods really necessary? Johannes Solheim Karlsson. Henning Zakrisson supervised by. Birger Nilsson. May 30, 2016
What are the chances and limitations of value-at-risk (VaR) models? - Alexander Linn Dennis Röhrig - Seminar Paper - Business economics - Controlling - Publish your bachelor's or master's thesis, dissertation, term paper or essay.
Concept of Value at Risk (VaR) - Fabian Kremer - Seminar Paper - Business economics - Banking, Stock Exchanges, Insurance, Accounting - Publish your bachelor's or master's thesis, dissertation, term paper or essay.
Bachelor Thesis Proposal xii. Methodology For backtesting of individual models, we use two-stage back- testing procedure consisting of Christoffersen's tests of independence, uncon- ditional, and conditional coverage. In the second-stage, we use Lopez's loss function to backtest VaR models. Outline. 1. Introduction to
Bachelor Thesis. Two-stage backtesting of Value-at-Risk models. Jan Matyáš. Abstract. This paper deals with a comparative evaluation of various Value-at-Risk models in terms of their prediction accuracy. We use two-stage backtesting procedure to find the most robust methodology in several aspects. Backtesting
Bibliography reference. PIZL, Vojtech. Stressed Value-at-Risk: Assessing extended Basel II regulation. Prague, 2013. 46 p. Bachelor Thesis (Bc.) Charles University, Faculty of Social. Sciences, Institute of Economic Studies. Supervisor: PhDr. Boril Šopov, MSc.,. LL.M. Extent of the thesis: 83,611 characters (with spaces)
Abstract. The purpose of this thesis is to identify the best volatility model for Value-at-Risk. (VaR) estimations. We estimate 1 % and 5 % VaR figures for Nordic indices and stocks by using two symmetrical and two asymmetrical GARCH models under different error distributions. Out-of-sample volatility forecasts are produced

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