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.

  • Subjects / Keywords
  • Graduation date
    Fall 2010
  • Type of Item
  • Degree
    Master of Science
  • DOI
  • License
    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.