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1. Mohamed, Khadar Ali. Applying Value at Risk (VaR) analysis to Brent Blend Oil prices.

Degree: Business and Economic Studies, 2011, University of Gävle

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

Subjects/Keywords: Value at Risk (VaR); Normaldistribution; Student t-distribution; Expected exception; Failure rate

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Mohamed, K. A. (2011). Applying Value at Risk (VaR) analysis to Brent Blend Oil prices. (Thesis). University of Gävle. Retrieved from http://urn.kb.se/resolve?urn=urn:nbn:se:hig:diva-10798

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Mohamed, Khadar Ali. “Applying Value at Risk (VaR) analysis to Brent Blend Oil prices.” 2011. Thesis, University of Gävle. Accessed January 19, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:hig:diva-10798.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Mohamed, Khadar Ali. “Applying Value at Risk (VaR) analysis to Brent Blend Oil prices.” 2011. Web. 19 Jan 2020.

Vancouver:

Mohamed KA. Applying Value at Risk (VaR) analysis to Brent Blend Oil prices. [Internet] [Thesis]. University of Gävle; 2011. [cited 2020 Jan 19]. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:hig:diva-10798.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Mohamed KA. Applying Value at Risk (VaR) analysis to Brent Blend Oil prices. [Thesis]. University of Gävle; 2011. Available from: http://urn.kb.se/resolve?urn=urn:nbn:se:hig:diva-10798

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

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