Validation and development of risk metrics for the currency portfolio of a global FinTech company
| dc.contributor.advisor | Kangro, Raul, juhendaja | |
| dc.contributor.advisor | Kraev, Egor, juhendaja | |
| dc.contributor.author | Salurand, Anna-Helena | |
| dc.contributor.other | Tartu Ülikool. Loodus- ja täppisteaduste valdkond | et |
| dc.contributor.other | Tartu Ăślikool. Matemaatika ja statistika instituut | et |
| dc.date.accessioned | 2021-07-01T07:49:03Z | |
| dc.date.available | 2021-07-01T07:49:03Z | |
| dc.date.issued | 2021 | |
| dc.description.abstract | The purpose of this thesis is to validate the Value at Risk (VaR) model of the currency portfolio of the global FinTech company Wise, develop the risk metrics further by introducing the Conditional Value at Risk (CVaR) and estimating VaR and CVaR multipliers for different time horizons using empirical percentile and Bayesian Model Averaging methods. The first two chapters give an overview of the foreign exchange market and some of the most common risk metrics. The third chapter presents the data, methods used, and results. The results show that the current VaR models’ assumptions are appropriate to calculate daily 95% VaR and CVaR, but would underestimate 95% CVaR for most of the shorter time horizons. Furthermore, the two applied methods yield similar results, both suitable for computing 95% VaR and CVaR for most time horizons between 1 to 24 hours. | en |
| dc.identifier.uri | http://hdl.handle.net/10062/72879 | |
| dc.language.iso | eng | et |
| dc.rights | openAccess | et |
| dc.rights | Attribution-NonCommercial-NoDerivatives 4.0 International | * |
| dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/4.0/ | * |
| dc.subject.other | riskiteooria | et |
| dc.subject.other | finantsriskid | et |
| dc.subject.other | valuutaturg | et |
| dc.subject.other | risk theory | en |
| dc.subject.other | financial risks | en |
| dc.subject.other | foreign exchange market | en |
| dc.title | Validation and development of risk metrics for the currency portfolio of a global FinTech company | en |
| dc.type | info:eu-repo/semantics/masterThesis | et |