Value at Risk & Expected Shortfall. En empirisk analys av riskmåttens parametrar
(2014) NEKH01 20131Department of Economics
- Abstract (Swedish)
- The purpose of this paper is, with the help of the historical simulation and bootstrapping methods, to establish the optimal periods for Value at Risk and Expected Shortfall forecasts. Value at Risk and Expected Shortfall are two well-used risk measures in finance which tell us how much we can expect to lose on a particular investment with a certain probability over a specific period of time.
The conclusion suggests that short periods of time (i.e. one year or less) is not optimal for financial risk forecasts. Instead, a wider period of time is preferred, between one to five years of data.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/4305491
- author
- Norell, Jens LU
- supervisor
-
- Erik Norrman LU
- organization
- course
- NEKH01 20131
- year
- 2014
- type
- M2 - Bachelor Degree
- subject
- keywords
- Bootstrapping, Historical Simulation, Estimation period, Expected Shortfall, Value at Risk
- language
- Swedish
- id
- 4305491
- date added to LUP
- 2014-02-14 11:13:22
- date last changed
- 2014-02-14 11:13:22
@misc{4305491,
abstract = {{The purpose of this paper is, with the help of the historical simulation and bootstrapping methods, to establish the optimal periods for Value at Risk and Expected Shortfall forecasts. Value at Risk and Expected Shortfall are two well-used risk measures in finance which tell us how much we can expect to lose on a particular investment with a certain probability over a specific period of time.
The conclusion suggests that short periods of time (i.e. one year or less) is not optimal for financial risk forecasts. Instead, a wider period of time is preferred, between one to five years of data.}},
author = {{Norell, Jens}},
language = {{swe}},
note = {{Student Paper}},
title = {{Value at Risk & Expected Shortfall. En empirisk analys av riskmåttens parametrar}},
year = {{2014}},
}