VaR and ES through FX exposure at Trelleborg Group
(2021) STAH11 20202Department of Statistics
- Abstract (Swedish)
- This thesis explores the parametric and nonparametric approaches for estimating Value at Risk and Expected Shortfall through foreign exchange exposure. The data for this study was provided by Trelleborg Group. We look at the translational risk on the balance sheet when translating the Groups investments in foreign subsidiaries to SEK.
In the parametric approach we make the assumption that the portfolio fluctuations caused by FX exposure will follow a Laplace, Logistic, or Normal distribution. No assumptions of distributions are made for the nonparametric approach but instead an assumption of cyclicality is made.
When comparing the parametric approach to the nonparametric approach it is the Logistic distribution that is the best fit... (More) - This thesis explores the parametric and nonparametric approaches for estimating Value at Risk and Expected Shortfall through foreign exchange exposure. The data for this study was provided by Trelleborg Group. We look at the translational risk on the balance sheet when translating the Groups investments in foreign subsidiaries to SEK.
In the parametric approach we make the assumption that the portfolio fluctuations caused by FX exposure will follow a Laplace, Logistic, or Normal distribution. No assumptions of distributions are made for the nonparametric approach but instead an assumption of cyclicality is made.
When comparing the parametric approach to the nonparametric approach it is the Logistic distribution that is the best fit for the left tails of the portfolio fluctuations out of the three distributions. This is seen when comparing both the Value at Risk and Expected Shortfall of the two approaches and while looking at the probability density functions plotted against each other. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/9038126
- author
- Byström, Joel LU
- supervisor
-
- Jonas Wallin LU
- organization
- alternative title
- A comparative study of parametric and nonparametric approaches
- course
- STAH11 20202
- year
- 2021
- type
- M2 - Bachelor Degree
- subject
- keywords
- VaR, ES, FX, Value at Risk, Expected Shortfall, Foreign Exchange
- language
- English
- id
- 9038126
- date added to LUP
- 2021-04-08 09:03:50
- date last changed
- 2021-04-08 09:03:50
@misc{9038126,
abstract = {{This thesis explores the parametric and nonparametric approaches for estimating Value at Risk and Expected Shortfall through foreign exchange exposure. The data for this study was provided by Trelleborg Group. We look at the translational risk on the balance sheet when translating the Groups investments in foreign subsidiaries to SEK.
In the parametric approach we make the assumption that the portfolio fluctuations caused by FX exposure will follow a Laplace, Logistic, or Normal distribution. No assumptions of distributions are made for the nonparametric approach but instead an assumption of cyclicality is made.
When comparing the parametric approach to the nonparametric approach it is the Logistic distribution that is the best fit for the left tails of the portfolio fluctuations out of the three distributions. This is seen when comparing both the Value at Risk and Expected Shortfall of the two approaches and while looking at the probability density functions plotted against each other.}},
author = {{Byström, Joel}},
language = {{eng}},
note = {{Student Paper}},
title = {{VaR and ES through FX exposure at Trelleborg Group}},
year = {{2021}},
}