dc.contributor.advisor | Westgaard, Sjur | nb_NO |
dc.contributor.author | Haukaas, Magnus Solli | nb_NO |
dc.contributor.author | Huse, Paul Ingebrigt | nb_NO |
dc.contributor.author | Benterud, Jostein Larsen | nb_NO |
dc.date.accessioned | 2014-12-19T14:29:33Z | |
dc.date.available | 2014-12-19T14:29:33Z | |
dc.date.created | 2014-06-11 | nb_NO |
dc.date.issued | 2013 | nb_NO |
dc.identifier | 723989 | nb_NO |
dc.identifier | ntnudaim:9702 | nb_NO |
dc.identifier.uri | http://hdl.handle.net/11250/266573 | |
dc.description.abstract | In this paper, a method for calculating Value-at-Risk using GARCH and Vine Copulamodelling with various marginals is implemented and tested on a set of eight electricity futures. The forecasts from this model are then compared to similar forecasts using a DCC-GARCH-model, RiskMetrics and historical simulation. These are all compared using the Kupiec and Christophersen tests. The comparison showed that at the 1%- and 99%- quantiles the Vine Copula method performs best, and the GARCH-based models generally outperformed the others. The Vine Copula performed worse than the benchmark models at the 5%- and 95%-quantiles. DCC-GARCH was able to predict all the quantiles fairly well in most of the portfolios. | nb_NO |
dc.language | eng | nb_NO |
dc.publisher | Institutt for industriell økonomi og teknologiledelse | nb_NO |
dc.title | Risk modelling using Vine Copulas: Modelling an energy company portfolio | nb_NO |
dc.type | Master thesis | nb_NO |
dc.source.pagenumber | 87 | nb_NO |
dc.contributor.department | Norges teknisk-naturvitenskapelige universitet, Fakultet for samfunnsvitenskap og teknologiledelse, Institutt for industriell økonomi og teknologiledelse | nb_NO |