Applying Value at Risk (VaR) analysis to Brent Blend Oil prices
Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
The purpose with this study is to compare four different models to VaR in terms of accuracy, namely Historical Simulation (HS), Simple Moving Average (SMA), Exponentially Weighted Moving Average (EWMA) and Exponentially Weighted Historical Simulation (EWHS).
These VaR models will be applied to one underlying asset which is the Brent Blend Oil using these confidence levels 95 %, 99 % and 99, 9 %. Concerning the return of the asset the models under two different assumptions namely student t-distribution and normal distribution will be studied
Place, publisher, year, edition, pages
2011. , 62 p.
Value at Risk (VaR), Normaldistribution, Student t-distribution, Expected exception, Failure rate
IdentifiersURN: urn:nbn:se:hig:diva-10798Archive number: E3BA:DiVA 86/2011OAI: oai:DiVA.org:hig-10798DiVA: diva2:451599
UppsokSocial and Behavioural Science, Law