Download the full-sized PDF
This file is in the following communities:
|Faculty of Graduate Studies and Research|
This file is not currently in any collections.
Risk measure estimation in finance Open Access
- Other title
Financial futures -- Risk management -- Mathematical models
Financial risk management -- Mathematical models
Finance -- Risk management -- Mathematical models
- Type of item
- Degree grantor
University of Alberta
- Author or creator
- Supervisor and department
Mizera, Ivan (Mathematical and Statistical Sciences)
- Examining committee member and department
Hooper, Peter (Mathematical and Statistical Sciences)
Galvani, Valentina (Economics)
Department of Mathematical and Statistical Sciences
- Date accepted
- Graduation date
Master of Science
- Degree level
In financial market, risk management is very critical to a company.
However, some risks in the market ( market risk) can not be
controlled or eliminated through management improvement or
appropriate asset allocation. Thus, it is important to accurately
measure these kinds of risks.
In this thesis, we introduce two most widely used risk measures:
value-at-risk and expected shortfall. Their estimation from data is
the issue we are concerned with in this thesis. We divide this
thesis into two parts:
First, we survey the currently used estimation methods. We introduce
these methods from the theoretical backgrounds. Then, we propose
some criteria used to judge the performance of these methods.
Second, we apply all these methods to data. We use the criteria
introduced to compare these methods. This empirical study can shed
some light on the application of these methods, bringing us some
guidelines about their use in the future.
- Permission is hereby granted to the University of Alberta Libraries to reproduce single copies of this thesis and to lend or sell such copies for private, scholarly or scientific research purposes only. Where the thesis is converted to, or otherwise made available in digital form, the University of Alberta will advise potential users of the thesis of these terms. The author reserves all other publication and other rights in association with the copyright in the thesis and, except as herein before provided, neither the thesis nor any substantial portion thereof may be printed or otherwise reproduced in any material form whatsoever without the author's prior written permission.
- Citation for previous publication
- Date Uploaded
- Date Modified
- Audit Status
- Audits have not yet been run on this file.
File format: pdf (Portable Document Format)
Mime type: application/pdf
File size: 612820
Last modified: 2015:10:12 14:31:26-06:00
Filename: Wang_Xupeng_Fall 2010.pdf
Original checksum: d8da0315c9f7cc0d2274412777fa00ef
Well formed: true
Page count: 84