Blar i UiS Brage på forfatter "Brakstad, Ørjan Kristensen"
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Risk Estimation in Energy Markets and Other Commodity Markets Using Value at Risk
Visnes, Svein; Brakstad, Ørjan Kristensen (Masteroppgave/UIS-TN-ISØP/2019;, Master thesis, 2019-06-13)In this thesis, the historical model is compared to both the normal and student t distributions to find the best risk metric using Value at Risk (VaR). To investigate the diversification effect, six portfolios have been ...