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How useful are intraday data in Risk Management?: An application of high frequency stock returns of three Nordic Banks to the VaR and ES calculation
Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE). (Finance Mathematics)
Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE). (Finance Mathematics)
2010 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

The work is focused on the Value at Risk and the Expected Shortfallcalculation. We assume the returns to be based on two pillars - the white noise and the stochastic volatility. We assume that the white noise follows the NIG distribution and the volatility is modeled using the nGARCH, NIG-GARCH, tGARCH and the non-parametric method. We apply the models into the stocks of three Banks of the Nordic market. We consider the daily and the intraday returns with the frequencies 5, 10, 20 and 30 minutes. We calculate the one step ahead VaR and ES for the daily and the intraday data. We use the Kupiec test and the Markov test to assess the correctness of the models. We also provide a new concept of improving the daily VaR calculation by using the high frequency returns. The results show that the intraday data can be used to the one step ahead VaR and the ES calculation. The comparison of the VaR for the end of the following trading day calculated on the basis of the daily returns and the one computed using the high frequency returns shows that using the intraday data can improve the VaR outcomes.

Place, publisher, year, edition, pages
2010. , p. 135
Keywords [en]
Fianncial Mathematics, Risk management, high frequency data, intraday, Value at Risk, VaR, Expected Shortfall, ES, NIG, nGARCH, tGARCH, NIG-GARCH
National Category
Mathematics Probability Theory and Statistics Other Mathematics Computational Mathematics
Identifiers
URN: urn:nbn:se:hh:diva-5337OAI: oai:DiVA.org:hh-5337DiVA, id: diva2:343267
Presentation
2010-06-03, Haldasalen, Halmstad University, 30118 Halmstad, Sweden, 10:45 (English)
Uppsok
Physics, Chemistry, Mathematics
Supervisors
Examiners
Available from: 2010-08-13 Created: 2010-08-12 Last updated: 2010-08-13Bibliographically approved

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Ostrowski Somnicki thesis(1343 kB)555 downloads
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Type fulltextMimetype application/pdf

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CiteExportLink to record
Permanent link

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Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf