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Value at Risk: A Standard Tool in Measuring Risk
Company: Umea School of Business and Economics
Company Url: Click here to open
Year Of Publication: 2011
Month Of Publication: June
Pages: 61
Download Count: 30
View Count: 1692
Comment Num: 0
Language: English
Source: thesis
Who Can Read: Free
Date: 7-10-2011
Publisher: Administrator
Summary
The thesis makes use of both parametric and non parametric approaches to evaluate the effectiveness of VAR as a standard tool in measuring risk of stock portfolio. This study uses the normal distribution, student t-distribution, historical simulation and the exponential weighted moving average at 95% and 99% confidence levels on the stock returns of Sonny Ericsson, Three Months Swedish Treasury bill (STB3M) and Nordea Bank. The evaluations of the VAR models are based on the Kupiec (1995) Test.
Author(s)
Ayaba, Ofe Hosea Sign in to follow this author
Okah, Okah Peter Sign in to follow this author
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