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Value at Risk Essays on banking and insurance sectors before and during COVID-19 - European Companies
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Orientador(es)
Resumo(s)
The aim of this project is to calculate the Value at Risk (VaR) in different European companies
of two different sectors: banking and insurance. The study will include two different periods
(before and during COVID-19) to calculate VaR and three different methods will be used:
Historical Simulation, Student t and Normal Linear distribution. The purpose of this study is to
understand how the different companies from banking and insurance industries have faced a
crisis period, i.e., the global pandemic we have been facing since more than one year now,
comparing to a period where there was no crise like this one. Furthermore, after getting these
results, it is expectable to know which sector has been having a better performance during
COVID-19. The individual VaR of each company will also be calculated to conclude what was
the company with the best performance among the chosen ones.
Descrição
Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Risk Analysis and Management
Palavras-chave
Value at Risk COVID-19 Historical Simulation Normal Linear VaR Student t Linear VaR