VaR methods for linear instruments
(2008) In LUTVDG/TVBB5268SERisk Management and Safety Engineering (M.Sc.Eng.)
Division of Fire Safety Engineering
Division of Risk Management and Societal Safety
- Abstract
- In this thesis various Value-at-Risk models are compared and evaluated towards finding the optimal model for the bank's trading book. The focus is on linear instruments (stocks, indicies and currency) and real market data, both domestic and foreign, is used for the calculations. I find that the GARCH(1,1) based model outperforms other models in volatility estimation and should thus be a wise choice when volatility estimation is needed, but GARCH based methods become rather complex for a multivariate covariance estimation. Therefore a mixture of simpler models such as EWMA is needed for making rational estimates.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/1315258
- author
- Vidarsson, Birgir
- supervisor
- organization
- year
- 2008
- type
- H2 - Master's Degree (Two Years)
- subject
- keywords
- VaR, Covariance, GARCH, EWMA, Market risk, Financial science, Financial time series, Volatility, Finansiering, Technological sciences, Teknik
- publication/series
- LUTVDG/TVBB5268SE
- report number
- 5268
- ISSN
- 1402-3504
- language
- English
- id
- 1315258
- date added to LUP
- 2009-02-12 00:00:00
- date last changed
- 2020-12-03 14:26:02
@misc{1315258, abstract = {{In this thesis various Value-at-Risk models are compared and evaluated towards finding the optimal model for the bank's trading book. The focus is on linear instruments (stocks, indicies and currency) and real market data, both domestic and foreign, is used for the calculations. I find that the GARCH(1,1) based model outperforms other models in volatility estimation and should thus be a wise choice when volatility estimation is needed, but GARCH based methods become rather complex for a multivariate covariance estimation. Therefore a mixture of simpler models such as EWMA is needed for making rational estimates.}}, author = {{Vidarsson, Birgir}}, issn = {{1402-3504}}, language = {{eng}}, note = {{Student Paper}}, series = {{LUTVDG/TVBB5268SE}}, title = {{VaR methods for linear instruments}}, year = {{2008}}, }