Comparative analysis between standard risk measurements and behavioral simulations

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Title:	Comparative analysis between standard risk measurements and behavioral simulations
Author:	Urbano García, Francisco
Other authors:	Universitat Politècnica de Catalunya. Departament d'Estadística i Investigació Operativa; Muñoz Gracia, María del Pilar
Abstract:	This project explores behavioral driven simulations as an alternative to the existing classical methods to calculate the most common risk measurements for financial time series, that is, VaR (value at risk) and Expected Shortfalls. . This Final Master Research Project focuses in a comparative analysis among GARCH family models forecast power and a behavioral based simulation of traders in the stock market. The simulation target is to explain and give insights on why the volatility in financial series behaves the way it does, thus, this simulation goes beyond a mere formal model fitting of the data and tries to explain the mechanics within the data
Subject(s):	-Àrees temàtiques de la UPC::Matemàtiques i estadística::Estadística matemàtica -Mathematical statistics -Volatility -Risk -Simulation -VaR -Estadística matemàtica -- Aplicacions -Classificació AMS::62 Statistics::62P Applications
Rights:	Attribution-NonCommercial-NoDerivs 3.0 Spain http://creativecommons.org/licenses/by-nc-nd/3.0/es/
Document type:	Research/Master Thesis
Published by:	Universitat Politècnica de Catalunya
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