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Risk measure estimation in finance
- Author / Creator
- Wang, Xupeng
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.
- Graduation date
- Fall 2010
- Type of Item
- Master of Science
- This thesis is made available by the University of Alberta Libraries with permission of the copyright owner solely for non-commercial purposes. This thesis, or any portion thereof, may not otherwise be copied or reproduced without the written consent of the copyright owner, except to the extent permitted by Canadian copyright law.