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Applying Value at Risk (VaR) analysis to Brent Blend Oil prices

The purpose with this study is to compare four different models to VaR in terms of accuracy, namely Historical Simulation (HS), Simple Moving Average (SMA), Exponentially Weighted Moving Average (EWMA) and Exponentially Weighted Historical Simulation (EWHS). These VaR models will be applied to one underlying asset which is the Brent Blend Oil using these confidence levels 95 %, 99 % and 99, 9 %. Concerning the return of the asset the models under two different assumptions namely student t-distribution and normal distribution will be studied

Identiferoai:union.ndltd.org:UPSALLA1/oai:DiVA.org:hig-10798
Date January 2011
CreatorsAli Mohamed, Khadar
PublisherHögskolan i Gävle, Avdelningen för ekonomi
Source SetsDiVA Archive at Upsalla University
LanguageEnglish
Detected LanguageEnglish
TypeStudent thesis, info:eu-repo/semantics/bachelorThesis, text
Formatapplication/pdf
Rightsinfo:eu-repo/semantics/openAccess

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