Blar i Faculty of Science and Technology på emneord "backtesting"
Viser treff 1-4 av 4
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A Comparison Study of Value at Risk and Expected Shortfall
(Master thesis, 2017-06-12)This thesis evaluates the performance of Value at Risk (VaR) and Expected Shortfall (ES) for four portfolios during different scenarios. Both historical VaR and normal VaR together with ES have been calculated for two ... -
Automated Trading System using Machine Learning
(Masteroppgave/UIS-TN-ISØP/2019;, Master thesis, 2019-06-15)This thesis investigates how machine learning can be applied in automated trading systems. To this end, an automated trading system driven by machine learning algorithms is developed. The system’s design is inspired by ... -
Risk Estimation in Energy Markets and Other Commodity Markets Using Value at Risk
(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 ... -
Value-at-risk: A coherent measure of risk?
(Masteroppgave/UIS-TN-IØRP/2011;, Master thesis, 2011)Value-at-risk is an instrument which is widely used by financial institutions for calculating risk. It has been known since the late nineties that this tool lacks an important logical property: subadditivity. This can cause ...