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Measuring and forecasting Value at Risk of one step ahead daily returns distribution

Date: 16 May 2019
Time: 12:00 - 13:00
Location:

LSBU Southwark Campus - Interact, 3rd Floor, Learning Resources Centre (LRC), 105 Borough Road, SE1 0AA

Organiser: Professor Karin Moser, Director of Research in the School of Business
Contact details: busresearch@lsbu.ac.uk
Price:
research_today

‘ResearchToday!’ is a seminar series that shows research from the Business School, and is a forum to foster the collaboration among colleagues

Interested guests are always welcome, from within or outside of the university! No registration is needed if you are internal, please just join us. If you are external to the University, please just send us an email to let us know you will be joining us, and we will inform our reception desk to expect you. Contact and further information: Research Manager for the School of Business, email: busresearch@lsbu.ac.uk

This week's seminar presentation will be given by Thamila Madji, PhD Student in the School of Business at LSBU. To give you a taste of the session, a brief abstract can be found below:

A new approach to optimising or hedging a portfolio of financial instruments to reduce risk is presented and evaluated. It focuses on measuring/forecasting daily Value at Risk (VaR), a measure of the worst expected loss that a firm may suffer over a period of time that has been specified by the user, under market conditions and at a specified level of confidence. Central to the new approach is a technique that uses a novel model to forecast financial returns series. Additional parameters were estimated and added to the traditional Brownian motion model to better capture the returns on the tails of the distribution. The novelty of the paper resides in its ability to go beyond the limitations of traditional VaR where the latter is coherent only when it is based on the dispersion of exogenous distributions.

Though the event finishes at 1pm, there will be an informal discussion continues until 2pm for those who wish to stay.

 
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