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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.

  • Subjects / Keywords
  • Graduation date
    2010-11
  • Type of Item
    Thesis
  • Degree
    Master of Science
  • DOI
    https://doi.org/10.7939/R3QH76
  • 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.
  • Language
    English
  • Institution
    University of Alberta
  • Degree level
    Master's
  • Department
    • Department of Mathematical and Statistical Sciences
  • Supervisor / co-supervisor and their department(s)
    • Mizera, Ivan (Mathematical and Statistical Sciences)
  • Examining committee members and their departments
    • Hooper, Peter (Mathematical and Statistical Sciences)
    • Galvani, Valentina (Economics)