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Applying Value at Risk (VaR) analysis to Brent Blend Oil prices
University of Gävle, Faculty of Education and Business Studies, Department of Business and Economic Studies.
2011 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

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.
Keyword [en]
Value at Risk (VaR), Normaldistribution, Student t-distribution, Expected exception, Failure rate
National Category
Social Sciences
Identifiers
URN: urn:nbn:se:hig:diva-10798Archive number: E3BA:DiVA 86/2011OAI: oai:DiVA.org:hig-10798DiVA: diva2:451599
Uppsok
Social and Behavioural Science, Law
Supervisors
Examiners
Available from: 2011-11-11 Created: 2011-10-26 Last updated: 2011-11-11Bibliographically approved

Open Access in DiVA

Introduction 1.8.13.2(1313 kB)1487 downloads
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Ali Mohamed, Khadar
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CiteExportLink to record
Permanent link

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Citation style
  • apa
  • ieee
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  • vancouver
  • Other style
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Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
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  • asciidoc
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