Browsing NHH Brage by Author "Råheim, Gudmund"

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    • Back testing multi asset value at risk : Norwegian data 

      Råheim, Gudmund (Master thesis, 2014)
      This paper attempts to e stimate Value At Risk (VaR) for a multi asset Norwegian portfolio, using some of the most popular estimation methods , Variance Covariance Method, Historical Simulation and Monte Carlo ...