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

  • Financial futures--Risk management--Mathematical models
  • Financial risk management--Mathematical models
  • Finance--Risk management--Mathematical models

• Graduation date

  Fall 2010

• 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.