Show simple item record

dc.contributor.advisorPärna, Kalev, juhendaja
dc.contributor.authorOla-Adua, Ibraheem Olanrewaju
dc.contributor.otherTartu Ülikool. Loodus- ja täppisteaduste valdkondet
dc.contributor.otherTartu Ülikool. Matemaatika ja statistika instituutet
dc.date.accessioned2017-07-05T07:54:27Z
dc.date.available2017-07-05T07:54:27Z
dc.date.issued2017
dc.identifier.urihttp://hdl.handle.net/10062/57100
dc.description.abstractThis thesis verifies the worst case losses (Value-at-Risk) of financial returns over a specified time period with a certain level of confidence. The measurement of VaR hinges on the distribution of investment returns. In order to test whether or not the VaR model accurately represents reality, back-testing is carried out for one day horizon for a yearly rolling window. The standard VaR parametric model which is based on normal distribution of returns is tested on real data. Findings are that this model is better for historical VaR estimation for bigger exceedance probabilities such as 5%, 1%, 2% etc, while the Student’s t-distribution seems to be better for smaller exceedance probabilities such as 0.5%, 0.1% etc.en
dc.language.isoenget
dc.publisherTartu Ülikoolet
dc.subjectValue-at-Risken
dc.subjectparametric methodsen
dc.subjectreturn distributionen
dc.subjectriski all olev väärtuset
dc.subjecttulususe jaotuset
dc.subjectparameetriline meetodet
dc.titleBack-testing the VaR risk measure: an empirical studyen
dc.typeThesisen


Files in this item

Thumbnail
Thumbnail

This item appears in the following Collection(s)

Show simple item record