Not logged in.
Quick Search - Contribution
Contribution Details
| Type | Bachelor's Thesis |
| Scope | Discipline-based scholarship |
| Title | Value at Risk and the Financial Crisis - An Empricial Evaluation of a Risk Measure |
| Organization Unit | |
| Authors |
|
| Supervisors |
|
| Language |
|
| Institution | University of Zurich |
| Faculty | Faculty of Economics, Business Administration and Information Technology |
| Date | 2015 |
| Abstract Text | This bachelor thesis models and subsequently evaluates a historically simulated Value at Risk (VaR) in times of the financial crisis 2007. The VaR calculations of the SMI-emulated portfolio follow the minimum requirements of the Basel II Accords. Comparisons between predicted maximum losses and actual changes in portfolio value provide information about the risk measure's reliability during abnormal market movements. A backtesting method verifies the results and gives evidence of strengths or weaknesses of the model. The prefixed literature review helps to interpret the outcome and to reconsider reasons and causes of potential deviations. It includes mathematical and statistical background knowledge to the different VaR approaches along with general theoretical considerations of the Value at Risk and risk measures at large. It maintains a synopsis of advantages and disadvantages in the practical dealings with risk measures and provides an outlook for future developments in that field. |
| Export |
BibTeX
|