Vilhelm Niklasson

Stockholm University

Vilhelm Niklasson is a doctoral candidate in mathematical statistics at Stockholm University, with a keen focus on financial statistics. He is expected to defend his dissertation in 2024. He earned his MSc in Engineering Mathematics and Computational Science from Chalmers University of Technology in 2018 and has a background as a financial software developer.

Articles by Vilhelm Niklasson

Original research

Volatility-sensitive Bayesian estimation of portfolio value-at-risk and conditional value-at-risk

The authors put forward a new means to integrate volatility information in the estimation of value-at-risk and conditional value-at-risk which is shown to be effective in risk estimation during volatile market conditions.

04 Jul 2024