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dc.contributor.advisorDahl, Roy Endré
dc.contributor.authorVisnes, Svein
dc.contributor.authorBrakstad, Ørjan Kristensen
dc.date.accessioned2019-11-11T10:05:14Z
dc.date.available2019-11-11T10:05:14Z
dc.date.issued2019-06-13
dc.identifier.urihttp://hdl.handle.net/11250/2627633
dc.descriptionMaster's thesis in Industrial economicsnb_NO
dc.description.abstractIn 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 created; two portfolios of energy commodities, two portfolios of other non-energy commodities and two total portfolios that contain all of the assets. One portfolio from each segment gives all assets equal weight (balanced), while the other portfolio from each segment uses the allocation that provides the minimum variance.nb_NO
dc.language.isoengnb_NO
dc.publisherUniversity of Stavanger, Norwaynb_NO
dc.relation.ispartofseriesMasteroppgave/UIS-TN-ISØP/2019;
dc.subjectindustriell økonominb_NO
dc.subjectVaRnb_NO
dc.subjectbacktestingnb_NO
dc.subjectenergy marketnb_NO
dc.subjectvolatilitynb_NO
dc.titleRisk Estimation in Energy Markets and Other Commodity Markets Using Value at Risknb_NO
dc.typeMaster thesisnb_NO
dc.subject.nsiVDP::Social science: 200::Economics: 210nb_NO
dc.subject.nsiVDP::Technology: 500nb_NO
dc.source.pagenumber100nb_NO


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  • Studentoppgaver (TN-ISØP) [1409]
    Master- og bacheloroppgaver i Byutvikling og urban design / Offshore technology : risk management / Risikostyring / Teknologi/Sivilingeniør : industriell økonomi / Teknologi/Sivilingeniør : risikostyring / Teknologi/Sivilingeniør : samfunnssikkerhet

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