Browsing Magisteruppsatser Företagsekonomiska institutionen by Subject "Value at Risk, return characteristics, historical simulation, moving average, GARCH, normal distribution, Brentoil, OMXs30, Swedish treasurybills"

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    • An empirical evaluation of Value at Risk 

      Gustafsson, Martin; Lundberg, Caroline (2009-01-30)
      In light of the recent financial crisis, risk management has become a very current issue. One of the most intuitive and comprehendible risk measures is Value at Risk (VaR). VaR puts a monetary value on the risk that arises ...